Parameter estimation in stochastic differential equations.

DOI10.1007/978-3-540-74448-1zbMATH Open1134.62058OpenAlexW1223110754MaRDI QIDQ2456744FDOQ2456744

Authors: Jaya P. N. Bishwal 

Publication date: 19 October 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-74448-1

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Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
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• LAMN property for multivariate inhomogeneous diffusions with discrete observations
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes
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• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Discrete-time statistical inference for multiscale diffusions
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