Parameter Estimation in Stochastic Differential Equations

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Bishwal, Jaya P. N. (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008.
Edición:1st ed. 2008.
Colección:Lecture Notes in Mathematics, 1923
Temas:
Mathematical analysis.
Probabilities.
Social sciences-Mathematics.
Statistics .
Numerical analysis.
Game theory.
Analysis.
Probability Theory.
Mathematics in Business, Economics and Finance.
Statistical Theory and Methods.
Numerical Analysis.
Game Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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