Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
We consider a stochastic differential equation of the form \[ dX_{t}=\theta a(t,X_{t})\hspace{0.1667em}dt+\sigma _{1}(t,X_{t})\sigma _{2}(t,Y_{t})\hspace{0.1667em}dW_{t}\] with multiplicative stochastic volatility, where Y is some adapted stochastic process. We prove existence–uniqueness results for...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2016-12-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA66 |