Journal article
Stochastic differential equations with generalized stochastic volatility and statistical estimators
Year:
2017Published in:
Taras Shevchenko National University of KyivStochastic differential equation
weak and strong solutions
stochastic volatility
drift parameter estimation
maximum likelihood estimator
strong consistency
We study a stochastic differential equation, the diffusion coefficient of which is a function of some adapted stochastic process. The various conditions for the existence and uniqueness of weak and strong solutions are presented. The drift parameter estimation in this model is investigated, and the strong consistency of the least squares and maximum likelihood estimators is proved. As an example, the Ornstein–Uhlenbeck model with stochastic volatility is considered.