IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

A note on the existence of a closed form conditional transition density for the Milstein scheme

  • Ola Elerian

This paper is concerned with the estimation of stochastic differential equations when only discrete observations are available. It primarily focuses on deriving a closed form solution for the one-step ahead conditional transition density using the Milstein scheme. This higher order Taylor approximation enables us to obtain an order of improvement in accuracy in estimating the parameters in a non-linear diffusion, as compared to use of the Euler-Maruyama discretization scheme. Examples using simulated data are presented. The method can easily be extended to the situation where auxiliary points are introduced between the observed values. The Milstein scheme can be used to obtain the approximate transition density as in a Pedersen (1995) type of simulated likelihood method or within an MCMC method as propose din Elerian, Chib and Shephard (1998).

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Monica Birds)

Download Restriction: no

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 1998-W18.

in new window

Date of creation: 01 Oct 1998
Date of revision:
Handle: RePEc:oxf:wpaper:1998-w18
Contact details of provider: Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:oxf:wpaper:1998-w18. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Monica Birds)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.