Parameter estimation in stochastic differential equations.

DOI10.1007/978-3-540-74448-1MaRDI QIDQ2456744zbMATH OpenOpenAlexFDO

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

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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• Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
• Stochastic gradient descent in continuous time: a central limit theorem
• Drift estimation for discretely sampled SPDEs
• Estimation of the parameters in stochastic differential equations
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Stochastic differential equations with generalized stochastic volatility and statistical estimators
• Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
• Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
• Maximum likelihood drift estimation for the mixing of two fractional Brownian motions
• Berry–Esseen Bound for a Class of NormalizedL-Statistics
• Hypothesis testing in a Rayleigh diffusion model
• Sequential testing of hypotheses about drift for Gaussian diffusions
• Estimating functions for diffusion-type processes
• Stochastic dynamic models and Chebyshev splines
• Parameter estimation in uncertain differential equations
• A two-step estimation of diffusion processes using noisy observations
• Optimal Berry-Esseen bound for parameter estimation of SPDE with small noise
• Bayesian estimation of a class of second-order stochastic differential equations
• Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
• Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
• Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations
• Ergodicity of stochastic smoking model and parameter estimation
• Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process
• Parameter estimation on forward-backward stochastic differential equations
• Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
• Estimating reducible stochastic differential equations by conversion to a least-squares problem
• Parameter estimation for stochastic partial differential equations of second order
• Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
• scientific article; zbMATH DE number 3862279 (Why is no real title available?)
• Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
• Least squares estimation for path-distribution dependent stochastic differential equations
• Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
• Non parametric estimation for fractional diffusion processes with random effects
• A utility based approach to information for stochastic differential equations
• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
• Maximum likelihood estimation for small noise multiscale diffusions
• Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
• Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
• Nonparametric inference for fractional diffusion
• Multivariate European option pricing in a Markov-modulated Lévy framework
• Simulation and inference for stochastic differential equations. With R examples.
• Parameter estimation for generalized Ait-Sahalia-type interest rate model
• Statistical inference for dynamical systems: a review
• Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
• Discrete-time statistical inference for multiscale diffusions
• Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
• Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
• Estimation of parameters in mean-reverting stochastic systems
• Parameter estimation in nonlinear stochastic differential equations
• Maximum likelihood estimation for the reflected stochastic linear system with a large signal
• Parameter estimation for the stochastic SIS epidemic model
• Statistical inference for ergodic diffusion processes.
• Generalized moment estimation of stochastic differential equations
• Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
• The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
• Drift estimation for a periodic mean reversion process
• Moment estimation for parameters in high-order uncertain differential equations
• Parameter estimation in stochastic differential equations
• Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
• Parameter estimation for generalized diffusion processes with reflected boundary
• Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
• Pathwise mild solutions for quasilinear stochastic partial differential equations
• Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
• Parameter estimation in stochastic grey-box models.
• A note on error estimation for hypothesis testing problems for some linear SPDEs
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework
• Parameter estimation for rough differential equations
• Sequential maximum likelihood estimation for the hyperbolic diffusion process
• Stochastic gradient descent in continuous time
• Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
• Maximum likelihood estimation in Skorohod stochastic differential equations
• Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
• Measurements of ordinary and stochastic differential equations.
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• Parameter estimation for the drift of a time inhomogeneous jump diffusion process
• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
• Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
• Le Cam-Stratonovich-Boole theory for Itô diffusions
• Strong consistency estimators of the Brennan-Schwartz diffusion process based on martingales approach
• Statistical modeling for stochastic differential equations
• Nonparametric estimation for periodic stochastic differential equations driven by \(G\)-Brownian motion
• Gaussian estimation for discretely observed Cox-Ingersoll-Ross model
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
• Stochastic functional linear models and Malliavin calculus
• Estimation for incomplete information stochastic systems from discrete observations
• Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
• A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• On statistical estimation and inferences in optional regression models
• Pseudo-maximum likelihood estimators in linear regression models with fractional time series
• Toward a mathematical theory of trajectory inference
• Discrete-time inference for slow-fast systems driven by fractional Brownian motion
• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
• Maximum likelihood estimation for small noise multi-scale McKean-Vlasov stochastic differential equations
• Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process

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