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Maximum likelihood estimation in Skorohod stochastic differential equations
Author(s):
Jaya
P. N.
Bishwal
Journal:
Proc. Amer. Math. Soc.
138
(2010),
1471-1478.
MSC (2010):
Primary 62F12, 62M05;
Secondary 60F05, 60H05, 60H10
Posted:
November 12, 2009
MathSciNet review:
2578541
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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  independent trajectories of the corresponding Skorohod diffusion inside a time interval ![$ [0, T]$](/proc/2010-138-04/S0002-9939-09-10113-2/gif-abstract0/img2.gif) as  . The results are illustrated for the anticipative Ornstein-Uhlenbeck process.
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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
Email:
J.Bishwal@uncc.edu
DOI:
10.1090/S0002-9939-09-10113-2
PII:
S 0002-9939(09)10113-2
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
Posted:
November 12, 2009
Communicated by:
Edward C. Waymire
Copyright of article:
Copyright
2009,
American Mathematical Society
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