Maximum likelihood estimation in Skorohod stochastic differential equations

DOI10.1090/S0002-9939-09-10113-2MaRDI QIDQ3552140zbMATH OpenOpenAlexFDO

Authors 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

limit distributionconsistencymaximum likelihood estimatorSkorohod integralCarleman-Fredholm determinantanticipative Girsanov transformationSkorohod stochastic differential equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(9)

• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Maximum likelihood estimation for the skew Ornstein-Uhlenbeck processes
• The maximum likelihood estimation for a class of stochastic differential equations driven by a Gaussian moving average process
• scientific article; zbMATH DE number 6387571 (Why is no real title available?)
• Maximum likelihood estimates of a class of one-dimensional stochastic differential equation models from discrete data
• Stochastic analysis of Gaussian processes via Fredholm representation
• Maximum likelihood inference for univariate delay differential equation models with multiple delays
• Parameter estimation for generalized diffusion processes with reflected boundary
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

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