Maximum likelihood estimation in Skorohod stochastic differential equations

DOI10.1090/S0002-9939-09-10113-2zbMATH Open1184.62145OpenAlexW2092811857MaRDI QIDQ3552140FDOQ3552140

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

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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 (7)

• A general lower bound of parameter estimation for reflected Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• 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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