On the approximate maximum likelihood estimation for diffusion processes
On the approximate maximum likelihood estimation for diffusion processes
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A\"{\i}t-Sahalia [J. Finance 54 (1999) 1361--1395; Econometrica 70 (2002) 223--262] proposed asymptotic expansions to the transition densities of diffusion processes, which …