非时齐扩散模型中扩散系数的局部估计

Acta mathematica scientia,Series A ›› 2015, Vol. 35 ›› Issue (2): 332-344.

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Local Estimation of the Diffusion Coefficient for Time-Inhomogeneous Diffusion Models

Wang Jixia¹, Xiao Qingxian²

1. College of Mathematics and Information Science, Henan Normal University, Henan Xinxiang 453007;
2. Business School, University of Shanghai for Science and Technology, Shanghai 200093

Received:2013-10-08 Revised:2014-04-06 Online:2015-04-25 Published:2015-04-25

Abstract

Abstract:

Based on discretely observed sample of the time-inhomogeneous diffusion models, the local estimation of the diffusion coefficient is proposed by using local approximate method. Furthermore, we verify the strong consistency and asymptotic normality of the local estimation proposed.

Key words: Time-inhomogeneous diffusion model, Diffusion coefficient, Local estimation, Strong consistency, Asymptotic normality

CLC Number:

O212.1

Wang Jixia, Xiao Qingxian. Local Estimation of the Diffusion Coefficient for Time-Inhomogeneous Diffusion Models[J].Acta mathematica scientia,Series A, 2015, 35(2): 332-344.

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Local Estimation of the Diffusion Coefficient for Time-Inhomogeneous Diffusion Models

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