Maximum likelihood estimation in Skorohod stochastic differential equations
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- by Jaya P. N. Bishwal PDF
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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 $n$ 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
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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
- 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
- © Copyright 2009 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 138 (2010), 1471-1478
- MSC (2010): Primary 62F12, 62M05; Secondary 60F05, 60H05, 60H10
- DOI: https://doi.org/10.1090/S0002-9939-09-10113-2
- MathSciNet review: 2578541