On continuous and discrete sampling for parameter estimation in Markovian switching diffusions

DOI10.3934/NACO.2024012MaRDI QIDQ6668660zbMATH OpenFDO

Authors Yuhang Zhen, Fubao Xi

Publication date 22 January 2025

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/NACO.2024012

zbMATH Keywords

Markovian switching diffusionsmaximum likelihood estimatorstochastic differential equation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(1)

• Approximation of the likelihood function for stochastic differential equations with Markovian switching

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