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

DOI10.3934/NACO.2024012MaRDI QIDQ6668660

Fubao Xi, Yuhang Zhen

Publication date: 22 January 2025

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationmaximum likelihood estimatorMarkovian switching diffusions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05)

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