Short Communications

Nonparametric estimation of trend for stochastic differential equations driven by multiplicative stochastic volatility

B. L. S. Prakasa Rao

CR Rao Advanced Institute of Mathematics, Statistics and Computer Science, Hyderabad, India

Abstract: We discuss nonparametric estimation of the trend coefficient in models governed by a stochastic differential equation driven by a multiplicative stochastic volatility.

Keywords: trend coefficient, nonparametric estimation, kernel method, multiplicative stochastic volatility, Brownian motion.

Received: 10.11.2024
Accepted: 13.01.2025

DOI: 10.4213/tvp5767

 English version: Theory of Probability and its Applications, 2025, 70:2, 331–338

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