Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility

DOI10.15559/16-VMSTA66MaRDI QIDQ502541zbMATH OpenWikidataFDO

Authors Meriem Bel Hadj Khlifa, K. V. Ral'chenko, Mounir Zili, Yuliya S. Mishura

Publication date 5 January 2017

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.01238

zbMATH Keywords

strong consistencystochastic differential equationmaximum likelihood estimatorstochastic volatilitystrong solutionsweak solutionsdrift parameter estimation

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider a stochastic differential equation of the form [dX_t= heta a(t,X_t),dt+sigma_1(t,X_t)sigma_2(t,Y_t),dW_t] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove existence--uniqueness results for weak and strong solutions of this equation under various conditions on the process $Y$ and the coefficients $a$, $sigm{a}_1$, and $sigm{a}_2$. Also, we study the strong consistency of the maximum likelihood estimator for the unknown parameter $heta$. We suppose that $Y$ is in turn a solution of some diffusion SDE. Several examples of the main equation and of the process $Y$ are provided supplying the strong consistency.

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Cited in

(6)

• Stochastic differential equations with generalized stochastic volatility and statistical estimators
• Stochastic volatility: approximation and goodness-of-fit test
• Estimation for the change point of volatility in a stochastic differential equation
• Efficient estimation of drift parameters in stochastic volatility models
• Variational estimation of the drift for stochastic differential equations from the empirical density
• Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations

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