Maximum likelihood estimation in Skorohod stochastic differential equations

DOI10.1090/S0002-9939-09-10113-2zbMath1184.62145MaRDI QIDQ3552140

Jaya P. N. Bishwal

Publication date: 13 April 2010

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-09-10113-2

zbMATH Keywords

consistency; maximum likelihood estimator; limit distribution; Skorohod integral; Carleman-Fredholm determinant; anticipative Girsanov transformation; Skorohod stochastic differential equations

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

Stochastic analysis of Gaussian processes via Fredholm representation, Parameter estimation for generalized diffusion processes with reflected boundary, A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes

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