Drift estimation of a certain class of diffusion processes from discrete observation

Let θ be the unknown parameter in the drift coefficient of a certain class of nonstationary diffusion processes. We study maximum contrast estimators of θ from discrete observations, i.e., the sample path is observed at times kΔn, K = 0, 1, …, n. We propose some conditions on Δn under which the estimators are consistent and asymptotically normal. The results are applied to the Ornstein-Uhlenbeck and Mishra-Prakasa Rao processes.