Diffusion process with evolution and its parameter estimation

DOI10.1007/S10559-020-00293-YMaRDI QIDQ2215848zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 December 2020

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-020-00293-y

zbMATH Keywords

Ornstein-Uhlenbeck processdiffusion approximationdrift parameter estimationdiscrete Markov processasymptotic diffusion environmentphase merging

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Recommendations

• Parameter Estimation for a Discretely Observed Integrated Diffusion Process
• Estimation of diffusion parameters for discretely observed diffusion processes
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
• Drift estimation of a certain class of diffusion processes from discrete observation
• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations

Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 1197451 (Why is no real title available?)
• scientific article; zbMATH DE number 1410036 (Why is no real title available?)
• Binary statistical experiments with persistent nonlinear regression
• Stationary statistical experiments and the optimal estimator for a predictable component
• Stochastic calculus and applications
• Stochastic systems in merging phase space.

Cited in

(3)

• scientific article; zbMATH DE number 176098 (Why is no real title available?)
• scientific article; zbMATH DE number 1248051 (Why is no real title available?)
• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data

This page was built for publication: Diffusion process with evolution and its parameter estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2215848)