Spectral estimation of volatility coefficient of scalar diffusion

Jakub Chorowski (HU Berlin)
Wednesday, May 28, 2014 - 5:00pm
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

We consider one dimensional diffusion process observed at regularly sampled time points, with fixed time between observations. We give example of optimal estimator of diffusion coefficients, based on spectral properties of the transition semi group. We investigate the behavior of this estimator when time between observations decreases to zero and discuss its effectiveness in high frequency regime. Joint work with M. Reiß.