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

zbMATH Open1539.60102MaRDI QIDQ6540484FDOQ6540484

Authors: Yuhang Zhen 

Publication date: 15 May 2024

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

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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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