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Minimax Rates for Nonparametric Drift Estimation in Affine Stochastic Delay Differential Equations

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  • Markus Reiß

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  • Markus Reiß, 2002. "Minimax Rates for Nonparametric Drift Estimation in Affine Stochastic Delay Differential Equations," Statistical Inference for Stochastic Processes, Springer, vol. 5(2), pages 131-152, May.
    • Handle: RePEc:spr:sistpr:v:5:y:2002:i:2:p:131-152
    DOI: 10.1023/A:1016356826470
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    References listed on IDEAS

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    1. Gushchin, Alexander A. & Kuchler, Uwe, 1997. "Asymptotic inference for a linear stochastic differential equation with time delay," SFB 373 Discussion Papers 1997,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    Cited by:

    1. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2023. "A pricing formula for delayed claims: appreciating the past to value the future," Mathematics and Financial Economics, Springer, volume 17, number 2, December.
    2. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2015. "A pricing formula for delayed claims: Appreciating the past to value the future," Papers 1505.04914, arXiv.org, revised Jul 2022.
    3. Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi, 2020. "Optimal portfolio choice with path dependent labor income: the infinite horizon case," Papers 2002.00201, arXiv.org.

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