Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility

DOI10.15559/16-VMSTA66zbMATH Open1355.60071arXiv1701.01238WikidataQ115235355 ScholiaQ115235355MaRDI QIDQ502541FDOQ502541

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)

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.

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

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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)

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Cited In (6)

• 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
• Efficient estimation of drift parameters in stochastic volatility models
• Estimation for the change point of volatility in a stochastic differential equation
• Stochastic volatility: approximation and goodness-of-fit test
• Stochastic differential equations with generalized stochastic volatility and statistical estimators

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