Publications Meetings The Profession Membership Programs Math Samplings Policy & Advocacy In the News About the AMS

Remote Access
Green Open Access
Proceedings of the American Mathematical Society
Proceedings of the American Mathematical Society
ISSN 1088-6826(online) ISSN 0002-9939(print)



Maximum likelihood estimation in Skorohod stochastic differential equations

Author: Jaya P. N. Bishwal
Journal: Proc. Amer. Math. Soc. 138 (2010), 1471-1478
MSC (2010): Primary 62F12, 62M05; Secondary 60F05, 60H05, 60H10
Published electronically: November 12, 2009
MathSciNet review: 2578541
Full-text PDF

Abstract | References | Similar Articles | Additional Information

Abstract: Consistency and limit distribution of the maximum likelihood estimator of a parameter in the drift coefficient of an anticipative Skorohod stochastic differential equation satisfying a boundary condition are obtained based on $ n$ independent trajectories of the corresponding Skorohod diffusion inside a time interval $ [0, T]$ as $ n \rightarrow \infty$. The results are illustrated for the anticipative Ornstein-Uhlenbeck process.

References [Enhancements On Off] (What's this?)

Similar Articles

Retrieve articles in Proceedings of the American Mathematical Society with MSC (2010): 62F12, 62M05, 60F05, 60H05, 60H10

Retrieve articles in all journals with MSC (2010): 62F12, 62M05, 60F05, 60H05, 60H10

Additional Information

Jaya P. N. Bishwal
Affiliation: Department of Mathematics and Statistics, University of North Carolina at Charlotte, 376 Fretwell Building, 9201 University City Boulevard, Charlotte, North Carolina 28223-0001

Keywords: Skorohod stochastic differential equations, Skorohod integral, anticipative Girsanov transformation, maximum likelihood estimator, consistency, limit distribution, Carleman-Fredholm determinant.
Received by editor(s): August 15, 2008
Received by editor(s) in revised form: May 15, 2009
Published electronically: November 12, 2009
Communicated by: Edward C. Waymire
Article copyright: © Copyright 2009 American Mathematical Society

Comments: Email Webmaster

© Copyright , American Mathematical Society
Contact Us · Sitemap · Privacy Statement

Connect with us Facebook Twitter Google+ LinkedIn Instagram RSS feeds Blogs YouTube Podcasts Wikipedia