Estimation of EDS parameters
Stochastic Differential Equations
Article REF: AF105 V1
Estimation of EDS parameters
Stochastic Differential Equations

Author : Thierry CHONAVEL

Publication date: April 10, 2015, Review date: July 8, 2015 | Lire en français

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5. Estimation of EDS parameters

5.1 Additional information on distribution processes

Here we provide a few additional notions on diffusion processes, which are of interest in many situations and in particular for the non-parametric estimation of drift and diffusion functions.

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5.1.1 Direct and retrograde Kolmogorov equations

The direct and retrograde Kolmogorov equations describe the evolution of the law of a diffusion process X over time. This evolution is governed by a differential equation. Usually

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