NON-PARAMETRIC ESTIMATION OF DIFFUSION-PATHS USING WAVELET SCALING METHODS

摘要

In continuous time, diffusion processes have been used to model financial dynamics for a long time. For example the Ornstein-Uhlenbeck process (the simplest mean-reverting process) has been used to model non-speculative price processes. We discuss non-parametric estimation of these processes using a wavelet filtration method, specifically the a trous algorithm.