TY  - JOUR
AU  - Lo,Andrew W.
TI  - Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 59
PY  - 1986
Y2  - August 1986
UR  - http://www.nber.org/papers/t0059
L1  - http://www.nber.org/papers/t0059.pdf
N1  - Author contact info:
Andrew W. Lo
MIT Sloan School of Management
100 Main Street, E62-618
Cambridge, MA  02142
Tel: 617/253-0920
Fax: 781/891-9783
E-Mail: alo@mit.edu
AB  - In this paper, we consider the parametric estimation problem for continuous time stochastic processes described by general first-order nonlinear stochastic differential equations of the Ito type. We characterize the likelihood function of a discretely-sampled set of observations as the solution to a functional partial differential equation. The consistency and asymptotic normality of the maximum likelihood estimators are explored, and several illustrative examples are provided.
ER  -