A STATISTICAL-METHOD OF ESTIMATION AND SIMULATION FOR SYSTEMS OF STOCHASTIC DIFFERENTIAL-EQUATIONS

This paper proposes a new statistical method of estimation and simulat ion for systems of stochastic differential equations. By using this me thod, we can easily derive a discretised process from a system of stoc hastic differential equations. The discretised process is tractable en ough to simulate the system and to construct the likelihood which is u sed to estimate the coefficients of the stochastic differential equati ons from discrete observation.