Parameter inference for stochastic differential equations with density tracking by quadrature

DOI10.1007/978-3-319-76035-3_7zbMath1397.62077OpenAlexW2803232247MaRDI QIDQ1793903

Harish S. Bhat, Shagun Rawat, R. W. M. A. Madushani

Publication date: 12 October 2018

Full work available at URL: https://doi.org/10.1007/978-3-319-76035-3_7

zbMATH Keywords

maximum likelihood estimationstochastic differential equationsparameter inference

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Adaptive density tracking by quadrature for stochastic differential equations ⋮ On numerical density approximations of solutions of SDEs with unbounded coefficients

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