Estimating parameters of diffusion process with unreachable boundary

DOI10.1007/S10958-015-2231-XzbMath1327.60155OpenAlexW2004271409MaRDI QIDQ493867

R. A. Suleymanova, I. A. Kozhevnikova

Publication date: 4 September 2015

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-015-2231-x

zbMATH Keywords

parameter estimationstochastic differential equationsmartingale methodsdiffusion processesmaximum likelihood method

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Cites Work

• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• Martingale estimation functions for discretely observed diffusion processes
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
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