Parameter Estimation in Stochastic Differential Equations

• Main Author: Bishwal, Jaya P. N. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Series: Lecture Notes in Mathematics, 1923
• Subjects: Mathematics.; Mathematical analysis.; Analysis (Mathematics).; Game theory.; Economics, Mathematical.; Numerical analysis.; Probabilities.; Statistics.; Analysis.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Statistical Theory and Methods.; Numerical Analysis.; Game Theory, Economics, Social and Behav. Sciences.

Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modelling complex phenomena and making beautiful decisions. The subject has attracted researchers from several areas of mathematics and other related fields l...

Table of Contents:

• Continuous Sampling
• Parametric Stochastic Differential Equations
• Rates of Weak Convergence of Estimators in Homogeneous Diffusions
• Large Deviations of Estimators in Homogeneous Diffusions
• Local Asymptotic Mixed Normality for Nonhomogeneous Diffusions
• Bayes and Sequential Estimation in Stochastic PDEs
• Maximum Likelihood Estimation in Fractional Diffusions
• Discrete Sampling
• Approximate Maximum Likelihood Estimation in Nonhomogeneous Diffusions
• Rates of Weak Convergence of Estimators in the Ornstein-Uhlenbeck Process
• Local Asymptotic Normality for Discretely Observed Homogeneous Diffusions
• Estimating Function for Discretely Observed Homogeneous Diffusions.