扩散过程的统计推断-概率论与数理统计专业论文.docxVIP

华东师范大学博士学位论文(2003j 华东师范大学博士学位论文(2003j 4 Abstract This thesis is devoted to a study of statistical inference for diffusion processes and some applications in finance．Three aspects of work are considered： The first aspect：we considered the error bound of the maximum likelihood estimation estimator for a class of nonstationary diffusion processes with parameters in both drift and diffusion parts．B5’transformation for one dimensional case，the diffusion process can be transferred into the case that the parameter is only in the drift part．A fundamental inequality based on the bounds for transitiona