Online Maximum Likelihood Estimation of the Parameters of Partially Observed Diffusion Processes

This is the code to reproduce the figures from this paper. To run the code, you need to install Julia, instantiate the project, and run the following scripts.

Figure 1

Running make_fig1.jl will produce figure 1:

Figure 2

Running make_fig2.jl will produce figure 2:

Figure 3

Note

The code for reproducing this figure is broken and currently not included in this repo.

Figure 4

Running make_fig4.jl will produce figure 4:

Figure 5

Running make_fig5.jl will produce figure 5: