Itô processes are the most common form of continuous semimartingales, and include
diffusion processes. This paper is concerned with the nonparametric regression relationship …

We consider a one-dimensional diffusion process (X_t) which is observed at n+1 discrete
times with regular sampling interval Δ. Assuming that (X_t) is strictly stationary, we propose …

The chapters of this volume represent the revised versions of the main papers given at the
seventh Séminaire Européen de Statistique on “Statistics for Stochastic Differential …

This is a course on estimation in high-frequency data. It is intended for an audience that
includes people interested in finance, econometrics, statistics, probability and financial …

We discuss parametric estimation of a degenerate diffusion system from time-discrete
observations. The first component of the degenerate diffusion system has a parameter 𝜃 1 in …

We consider the estimation of unknown parameters in the drift and diffusion coefficients of a
one‐dimensional ergodic diffusion X when the observation is a discrete sampling of the …

The recent advent of modern technology has generated a large number of datasets which
can be frequently modeled as functional data. This paper focuses on the problem of …

We study non parametric drift estimation for an ergodic diffusion process from discrete
observations. The drift is estimated on a set A using an approximate regression equation by …

Parametric estimation of two-dimensional hypoelliptic diffusions is considered when
complete observations–both coordinates discretely observed–or partial observations–only …

Consider a diffusion process X=(X t) t∈[0, 1] observed at discrete times and high frequency,
solution of a stochastic differential equation whose drift and diffusion coefficients are …