论文信息 - Diffusions with measurement errors. II. Optimal estimators

Diffusions with measurement errors. II. Optimal estimators

We consider a diusion process X which is observed at timesi=n for i =0 ; 1;::: ;n ,e ach observation being subject to a measurement error. All errors are independent and centered Gaussian with known variance n. There is an unknown parameter to estimate within the diusion coecient. In this second paper we construct estimators which are asymptotically optimal when the process X is a Gaussian martingale, and we conjecture that they are also optimal in the general case. Mathematics Subject Classication. 60J60, 62F12, 62M05.

Jean Jacod | Arnaud Gloter | J. Jacod | A. Gloter

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