A Sufficient Condition for Asymptotic Sufficiency of Incomplete Observations of a Diffusion Process
A Sufficient Condition for Asymptotic Sufficiency of Incomplete Observations of a Diffusion Process
Consider an $m$-dimensional diffusion process $(X_t)$ with unknown drift and small known variance observed on a time interval $\lbrack 0, T\rbrack$. We derive here a general condition ensuring the asymptotic sufficiency, in the sense of Le Cam, of incomplete observations of $(X_t)_{0 \leq t \leq T}$ with respect to the …