Estimating parameters of diffusion process with unreachable boundary

DOI10.1007/S10958-015-2231-XMaRDI QIDQ493867zbMATH OpenOpenAlexFDO

Authors I. A. Kozhevnikova, R. A. Suleymanova

Publication date 4 September 2015

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-015-2231-x

zbMATH Keywords

parameter estimationmaximum likelihood methodstochastic differential equationsdiffusion processesmartingale methods

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Recommendations

• Estimation of parameters in linear diffusion models
• scientific article; zbMATH DE number 1281985
• Estimation of diffusion parameters for discretely observed diffusion processes
• A quasi-likelihood approach to estimating parameters in diffusion-type processes
• scientific article; zbMATH DE number 1204371

Cites work

• scientific article; zbMATH DE number 3176477 (Why is no real title available?)
• scientific article; zbMATH DE number 44889 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Martingale estimation functions for discretely observed diffusion processes
• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper

Cited in

(15)

• Estimation of the killing rate parameter in a diffusion model
• Estimation of parameters in linear diffusion models
• Optimal estimation of diffusion processes hidden by general obstacles
• A parameter estimation method using linear response statistics
• Estimation of unknown parameters in diffusion models of interest rates of the prices of bonds
• Estimation of parameters for discretely observed diffusion processes with a variety of rates for information
• scientific article; zbMATH DE number 2075000 (Why is no real title available?)
• scientific article; zbMATH DE number 3945180 (Why is no real title available?)
• scientific article; zbMATH DE number 2069491 (Why is no real title available?)
• Variances of estimates of a diffusion process functional and its derivatives with respect to parameters
• To the parameter identification of Markov diffusions; the use of the maximum quadratic variation functional
• Estimation of diffusion parameters for discretely observed diffusion processes
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
• A quasi-likelihood approach to estimating parameters in diffusion-type processes
• Parameter estimation for generalized diffusion processes with reflected boundary

This page was built for publication: Estimating parameters of diffusion process with unreachable boundary

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q493867)