Maximum likelihood estimation in Skorohod stochastic differential equations

DOI10.1090/S0002-9939-09-10113-2zbMath1184.62145OpenAlexW2092811857MaRDI QIDQ3552140

Jaya P. N. Bishwal

Publication date: 13 April 2010

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-09-10113-2

zbMATH Keywords

consistencymaximum likelihood estimatorlimit distributionSkorohod integralCarleman-Fredholm determinantanticipative Girsanov transformationSkorohod stochastic differential equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Parameter estimation for generalized diffusion processes with reflected boundary ⋮ Stochastic analysis of Gaussian processes via Fredholm representation ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes

Cites Work

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• Existence and continuity of occupation densities of stochastic integral processes
• Stochastic calculus with anticipating integrands
• Linear stochastic differential equations with boundary conditions
• Boundary value problems for stochastic differential equations
• Skorohod stochastic differential equations of diffusion type
• Statistical inference for ergodic diffusion processes.
• Parameter estimation in stochastic differential equations.
• Reciprocal processes
• Skorohod stochastic differential equations with boundary conditions
• Anticipative Girsanov transformations and Skorohod stochastic differential equations
• Pricing via anticipative stochastic calculus
• Anticipative portfolio optimization

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