Inference on the variance and smoothing of the paths of diffusions
Annales de l'I.H.P. Probabilités et statistiques, Tome 38 (2002) no. 6, pp. 1009-1022.
@article{AIHPB_2002__38_6_1009_0,
     author = {Perera, Gonzalo and Wschebor, Mario},
     title = {Inference on the variance and smoothing of the paths of diffusions},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     pages = {1009--1022},
     publisher = {Elsevier},
     volume = {38},
     number = {6},
     year = {2002},
     mrnumber = {1955349},
     zbl = {1011.62083},
     language = {en},
     url = {http://archive.numdam.org/item/AIHPB_2002__38_6_1009_0/}
}
TY  - JOUR
AU  - Perera, Gonzalo
AU  - Wschebor, Mario
TI  - Inference on the variance and smoothing of the paths of diffusions
JO  - Annales de l'I.H.P. Probabilités et statistiques
PY  - 2002
SP  - 1009
EP  - 1022
VL  - 38
IS  - 6
PB  - Elsevier
UR  - http://archive.numdam.org/item/AIHPB_2002__38_6_1009_0/
LA  - en
ID  - AIHPB_2002__38_6_1009_0
ER  - 
%0 Journal Article
%A Perera, Gonzalo
%A Wschebor, Mario
%T Inference on the variance and smoothing of the paths of diffusions
%J Annales de l'I.H.P. Probabilités et statistiques
%D 2002
%P 1009-1022
%V 38
%N 6
%I Elsevier
%U http://archive.numdam.org/item/AIHPB_2002__38_6_1009_0/
%G en
%F AIHPB_2002__38_6_1009_0
Perera, Gonzalo; Wschebor, Mario. Inference on the variance and smoothing of the paths of diffusions. Annales de l'I.H.P. Probabilités et statistiques, Tome 38 (2002) no. 6, pp. 1009-1022. http://archive.numdam.org/item/AIHPB_2002__38_6_1009_0/

[1] J.-M. Azaïs, Approximation des trajectoires et temps local des diffusions, Ann. Inst. H. Poincaré Probab. Statist. 25 (2) (1989) 175-194. | Numdam | MR | Zbl

[2] J.-M. Azaïs, M. Wschebor, Oscillation presque sûre de martingales continues, in: Séminaire de Probabilités XXXI, Lecture Notes in Mathematics, 1655, Springer, 1997, pp. 69-76. | Numdam | MR | Zbl

[3] C. Berzin, J.R. León, Weak convergence of the integrated number of level crossings to the local time of the Wiener process, C. R. Acad. Sci. Paris, Sér. I 319 (1994) 1311-1316. | MR | Zbl

[4] D. Dacunha-Castelle, D. Florens-Zmirou, Estimation of the coefficient of a diffusion from discrete observations, Stochastics 19 (1986) 263-284. | MR | Zbl

[5] D. Florens-Zmirou, On estimating the diffusion coefficient from discrete observations, J. Appl. Probab. 30 (1993) 790-804. | MR | Zbl

[6] V. Génon-Catalot, J. Jacod, On the estimation of the diffusion coefficient for multidimensional diffusion processes, Ann. Inst. H. Poincaré Probab. Statist. 29 (1993) 119-151. | Numdam | MR | Zbl

[7] M. Hoffmann, Lp estimation of the diffusion coefficient, Bernoulli 5 (3) (1999) 447-481. | MR | Zbl

[8] J. Jacod, Rates of convergence to the local time of a diffusion, Ann. Inst. H. Poincaré Probab. Statist. 34 (4) (1998) 505-544. | Numdam | MR | Zbl

[9] J. Jacod, Non-parametric kernel estimation of the diffusion coefficient of a diffusion, Scand. J. Statist. 27 (1) (2000) 83-96. | MR | Zbl

[10] D. Nualart, M. Wschebor, Intégration par parties dans l'espace de Wiener et approximation du temps local, Probab. Theory Related Fields 90 (1991) 83-109. | MR | Zbl

[11] G. Perera, M. Wschebor, Crossings and occupation measures for a class of semimartingales, Ann. Probab. 26 (1) (1998) 253-266. | MR | Zbl