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© 2008

Parameter Estimation in Stochastic Differential Equations

Book

Part of the Lecture Notes in Mathematics book series (LNM, volume 1923)

About this book

Introduction

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 like economics and finance. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods. Useful because of the current availability of high frequency data is the study of refined asymptotic properties of several estimators when the observation time length is large and the observation time interval is small. Also space time white noise driven models, useful for spatial data, and more sophisticated non-Markovian and non-semimartingale models like fractional diffusions that model the long memory phenomena are examined in this volume.

Keywords

Asymtotic Theory Diffusion Processes Discrete Observations Estimator Martingale Ornstein-Uhlenbeck process Parameter Estimation Semimartingale Stochastic Differential Equations modeling

Authors and affiliations

  1. 1.University of North Carolina at Charlotte28223-0001CharlotteUSA

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Reviews

From the reviews:

"This book deals with a variety of statistical inference problems for stochastic differential equations … . In each chapter the author starts with useful introductory notes clearly describing the specific models and the problems. … A series of interesting and well commented examples are provided as an illustration. … Among the readers who can benefit from this carefully written book are researchers and postgraduate students in stochastic modelling; especially those working in areas such as physics, engineering, biology and finance." (Jordan M. Stoyanov, Zentralblatt MATH, Vol. 1134 (12), 2008)