Nonparametric Statistics for Diffusion Processes
Bianchi, Annamaria
Diffusion processes are widely used in many applied disciplines, such as biology, physics and financial mathematics. From the applied perspective multivariate diffusions are more interesting than scalar ones since only multidimensional models can describe the evolution of variables which interact among themselves. It is therefore very important to be able to identify such models starting from the observed data. However, while the scalar case h...