On the estimation of the drift coefficient in diffusion processes with random stopping times
- Gutiérrez Jáimez, Ramón
- Hermoso Carazo, Aurora
- Molina Fernández, Manuel
ISSN: 0213-8190
Año de publicación: 1986
Volumen: 1
Número: 2
Páginas: 57-66
Tipo: Artículo
Otras publicaciones en: Trabajos de estadística
Resumen
This paper considers stochastic differential equations with solutions which are multidimensional diffusion processes with drift coefficient depending on a parametric vector ?. By considering a trajectory observed up to a stopping time, the maximum likelihood estimator for ? has been obtained and its consistency and asymptotic normality have been proved