Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

DOI10.1214/07-AOS550zbMath1169.65004arXiv0903.0290OpenAlexW2092395301MaRDI QIDQ1002156

Gareth O. Roberts, Alexandros Beskos, Omiros Papaspiliopoulos

Publication date: 25 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.0290

zbMATH Keywords

numerical examplesMonte Carlo methodBrownian bridgemaximum likelihood estimatorcouplingexact simulationlogistic growth stochastic differential equationretrospective rejection sampling algorithmstrong law of large numbers on Banach space

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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