In this note we extend the methosd suggested by Kessler and Sorensen (1999) for estimating parameters in diffusions observed at discrete time intervals to a rather large class of perturbed diffusions. As an application, we present a test for assessing the membership of a diffusion into a given polynomial class.
Eigenfunctions based estimating martingales for perturbed diffusions
CORIELLI, FRANCESCO
2004
Abstract
In this note we extend the methosd suggested by Kessler and Sorensen (1999) for estimating parameters in diffusions observed at discrete time intervals to a rather large class of perturbed diffusions. As an application, we present a test for assessing the membership of a diffusion into a given polynomial class.
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