On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations

DOI10.1186/S13662-016-0819-1zbMATH Open1346.60084OpenAlexW2316663932WikidataQ59467833 ScholiaQ59467833MaRDI QIDQ307401FDOQ307401

Jingjie Li, Jiang-Lun Wu

Publication date: 1 September 2016

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-016-0819-1

zbMATH Keywords

consistencyasymptotic distributionBrownian motionstochastic differential equationsGirsanov transformationleast squares estimatordiscrete observation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (5)

• Trajectory fitting estimation for a class of SDEs with small Lévy noises
• Least squares estimation for path-distribution dependent stochastic differential equations
• Estimation of intrinsic growth factors in a class of stochastic population model
• Variable bandwidth local maximum likelihood type estimation for diffusion processes
• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations

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