Approximation of the likelihood function for stochastic differential equations with Markovian switching

zbMATH Open1539.60102MaRDI QIDQ6540484FDOQ6540484

Yuhang Zhen

Publication date: 15 May 2024

Published in: Markov Processes and Related Fields (Search for Journal in Brave)

zbMATH Keywords

convergencestochastic differential equationsMarkovian switchinglikelihood function

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (1)

• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions

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