TY  - BOOK
AU  - Lo,Andrew W.
ED  - National Bureau of Economic Research.
TI  - Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
T2  - NBER technical working paper series
PY  - 1986///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - August 1986; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/t0059
UR  - http://dx.doi.org/10.3386/t0059
ER  -