Asymptotic properties of Monte Carlo estimators of diffusion processes.

This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. We examine two types of estimators based on the Euler scheme, one applied to the original processes, the other to a Doss transformation of the processes. We show that the transformation increases the speed o...

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Detalles Bibliográficos

Publicado en:	Journal of Econometrics Vol. 134; no. 1; pp. 1 - 69
Autores principales:	Detemple, Jérôme, Garcia, René, Rindisbacher, Marcel
Formato:	Artículo
Publicado:	Elsevier Science September 2006
Materias:	Difference equations Estimation theory Monte Carlo method Mathematical transformations Diffusion processes
Acceso en línea:	Ver este registro en EBSCOhost