A Monte Carlo EM algorithm for discretely observed Diffusions, Jump-diffusions and Lévy-driven Stochastic Differential Equations
Stochastic differential equations driven by standard Brownian motion(s) or Lévy processes are by far the most popular models in mathematical finance, but are also frequently used in engineering and science. A key feature of the class of models is that the parameters are easy to interpret for anyone working with ordinary differential equations, making connections between statistics and other scient