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.
SCROLL TO TOP5.1.1 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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Estimation of EDS parameters
EDS with jumps
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