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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• Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
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• Generalized moment estimation of stochastic differential equations
• The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
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• Estimation of parameters in mean-reverting stochastic systems
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