Small-diffusion asymptotics for discretely sampled stochastic differential equations

The minimum-contrast estimation of drift and diffusion coefficient parameters for a multidimensional diffusion process with a small dispersion parameter e based on a Gaussian approximation to the transition density is presented when the sample path is observed at equidistant times k/n, k 0, 1, ..., n. We study asymptotic results for the minimum-contrast estimator as e goes to 0 and n goes to oc simultaneously.

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