Robust estimation of multivariate jump-diffusion processes via Dynamic Programming.

Andrey Torzhkov Puneet Sharma Amit Chakraborty Robust estimation of multivariate jump-diffusion processes via Dynamic Programming. 1123-1132 2010 Winter Simulation Conference http://dx.doi.org/10.1109/WSC.2010.5679080 conf/wsc/2010 db/conf/wsc/wsc2010.html#TorzhkovSC10