Lo, Andrew W. <br/><br/>
Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data / 
Andrew W. Lo. 
 - Cambridge, Mass.  National Bureau of Economic Research  1986. 
 - 1 online resource:  illustrations (black and white); 
 - NBER technical working paper series  no. t0059 .
 - Technical Working Paper Series (National Bureau of Economic Research)  no. t0059. .
<br/><br/> August 1986. 
<br/><br/> 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. 
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