Least squares estimators for stochastic differential equations with Markovian switching

DOI10.3934/DCDSB.2022258MaRDI QIDQ2697299zbMATH OpenOpenAlexFDO

Authors Yuhang Zhen, Fubao Xi

Publication date 18 April 2023

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2022258

zbMATH Keywords

consistencyasymptotic distributionstochastic differential equationMarkovian switchingleast squares estimator

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Processes in random environments (60K37)

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Cited in

(2)

• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions
• Approximation of the likelihood function for stochastic differential equations with Markovian switching

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• CRAN

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