Parameter estimation in stochastic differential equations.
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)
This book deals with a variety of statistical inference problems for stochastic differential equations (SDEs) of the type: \[ dX_t= \mu(\theta, t,X_t)\,dt+ \sigma(\theta, t,X_t)\,dW_t,\quad t\geq 0,\quad X_0= \zeta. \] Here the drift coefficient \(\mu(\cdot)\) and/or the diffusion coefficient \(\sigma^2(\cdot)\) depend on unknown parameter(s) \(\theta\). Hence the general problem is to estimate \(\theta\) based on the availble data which are either continuous in time or discrete. This topic has been a long standing challenge for scientists in applied stochastics over the last 4--5 decades. This is not surprising because SDEs of the above type, in the sense of Itô or Stratonovich, are used for modelling complex dynamical systems under different kinds of random influences, or perturbations. The material is organized in the following 10 chapters: 1. Parameter stochastic differential equations. 2. Rates of weak convergence of estimators in homogeneous diffusions. 3. Large deviations of estimators in homogeneous diffusions. 4. Local asymptotic mixed normality for nohomogeneous diffusions. 5. Bayes and sequential estimation in stochastic PDEs. 6. Maximum likelihood estimation in fractional diffusions. 7. Approximate MLEs in nonhomogeneous dissusions. 8. Rates of weak convergence of estimators in the Ornstein-Uhlenbeck process. 9. Local asymptotic normality for discretely observed homogeneous diffusions. 10. Estimating functions for discretely observed homogeneous diffusions. In each chapter the author starts with useful introductory notes clearly describing the specific models and the problems. Then he presents basic results available in the literature. He has found a good balance between his own contributions to the area and a large number of results of other authors. The nature of the models, the problems and the results are such that we need a lot of technicalities. It is clear that even specific cases lead to non-trivial problems. The proofs show that the conditions imposed are essential. The author pays equal atention to the methods of estimation, the specific constructions of the estimators and the derivation of their properties, in particular when showing convergence properties. A series of interesting and well commented examples are provided as an illustration. The book ends with an extended references list of 342 basic works in this area. There is also a list of basic notations and a Subject index. Among the readers who can benefit from this carefully written book are researchers and postgraduate students in stochastic modelling, especially those working in areas such as physics, engineering, biology and finance.
- Parameter estimation in infinite-dimensional stochastic differential equations
- A utility based approach to information for stochastic differential equations
- Statistical inference for ergodic diffusion processes.
- Parameter estimation in stochastic grey-box models.
- Parameter estimation in nonlinear stochastic differential equations
- Estimating reducible stochastic differential equations by conversion to a least-squares problem
- Ergodicity of stochastic smoking model and parameter estimation
- Optimal Berry-Esseen bound for parameter estimation of SPDE with small noise
- Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
- Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
- Estimation of parameters in mean-reverting stochastic systems
- Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes
- Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
- Measurements of ordinary and stochastic differential equations.
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering
- Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
- Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
- Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
- Pseudo-maximum likelihood estimators in linear regression models with fractional time series
- Stochastic functional linear models and Malliavin calculus
- Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
- Moment estimation for parameters in high-order uncertain differential equations
- LAMN property for multivariate inhomogeneous diffusions with discrete observations
- A large deviation result for maximum likelihood estimator of non-homogeneous Ornstein-Uhlenbeck processes
- The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
- Parameter estimation in uncertain differential equations
- Pathwise mild solutions for quasilinear stochastic partial differential equations
- Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process
- Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
- Drift estimation for discretely sampled SPDEs
- Least squares estimation for path-distribution dependent stochastic differential equations
- On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes
- Parameter identification for a stochastic \textit{SEIRS} epidemic model: case study influenza
- Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
- Path independence of additive functionals for stochastic differential equations under \(G\)-framework
- Estimation for incomplete information stochastic systems from discrete observations
- Drift estimation for a periodic mean reversion process
- Nonparametric inference for fractional diffusion
- Parameter estimation for the stochastic SIS epidemic model
- Parameter estimation for a subcritical affine two factor model
- Simulation and inference for stochastic differential equations. With R examples.
- Sequential maximum likelihood estimation for the hyperbolic diffusion process
- Parameter estimation for generalized diffusion processes with reflected boundary
- Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
- Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
- A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
- Gaussian estimation for discretely observed Cox-Ingersoll-Ross model
- Maximum likelihood estimation for the drift parameter in diffusion processes
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
- Parameter estimation in stochastic differential equations
- Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
- Berry–Esseen Bound for a Class of NormalizedL-Statistics
- Generalized moment estimation of stochastic differential equations
- scientific article; zbMATH DE number 3862279 (Why is no real title available?)
- Maximum likelihood estimation in Skorohod 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
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
- Estimation of the parameters in stochastic differential equations
- Stochastic gradient descent in continuous time
- Discrete-time statistical inference for multiscale diffusions
- A two-step estimation of diffusion processes using noisy observations
- Stochastic differential equations with generalized stochastic volatility and statistical estimators
- A note on error estimation for hypothesis testing problems for some linear SPDEs
- Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
- Estimating functions for diffusion-type processes
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- On statistical estimation and inferences in optional regression models
- Maximum likelihood drift estimation for the mixing of two fractional Brownian motions
- Parameter estimation on forward-backward stochastic differential equations
- Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes
- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
- Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
- Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations
- Jump-robust volatility estimation using dynamic dual-domain integration method
- Multivariate European option pricing in a Markov-modulated Lévy framework
- Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
- Stochastic gradient descent in continuous time: a central limit theorem
- Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
- Estimating a class of diffusions from discrete observations via approximate maximum likelihood method
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
- Stochastic dynamic models and Chebyshev splines
- Bayesian estimation of a class of second-order stochastic differential equations
- Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process
- Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
- Non parametric estimation for fractional diffusion processes with random effects
- Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process
- Hypothesis testing in a Rayleigh diffusion model
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
- On inverse-gamma distribution delayed by Poisson process
- Le Cam-Stratonovich-Boole theory for Itô diffusions
- Toward a mathematical theory of trajectory inference
- Maximum likelihood estimation for the reflected stochastic linear system with a large signal
- Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
- Parameter estimation for generalized Ait-Sahalia-type interest rate model
- Statistical modeling for stochastic differential equations
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