Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients

DOI10.1137/23M1581662MaRDI QIDQ6554970zbMATH OpenFDO

Authors F. Comte, V. Genon-Catalot

Publication date 13 June 2024

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1581662

zbMATH Keywords

adaptive estimationinhomogeneous diffusionsleast squares estimatornonparametric drift estimationprojection methodstochastic differential equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Nonparametric estimation (62G05)

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Cited in

(3)

• Nonparametric estimation for additive concurrent regression models
• Inference methods in time-varying linear diffusion processes
• New results for drift estimation in inhomogeneous stochastic differential equations

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