Parameter estimation for stochastic differential equations from noisy observations. Maximum likelihood and filtering techniques. Lipari 2009 biomathematics summer school.Report as inadecuate




Parameter estimation for stochastic differential equations from noisy observations. Maximum likelihood and filtering techniques. Lipari 2009 biomathematics summer school. - Download this document for free, or read online. Document in PDF available to download.

1 MAP5 - MAP5 - Mathématiques Appliquées à Paris 5

Abstract : Consider a diffusion process $x t, t \ge 0$ given as the solution of a stochastic differential equation with unknown parameters in the drift and diffusion coefficients to be estimated. For simplicity, we consider that $x t$ is one-dimensional but multidimensional processes may be considered too. At times $0 \le t 1 < \ldots

Keywords : maximum likelihood filtering diffusions discrete observations





Author: Valentine Genon-Catalot -

Source: https://hal.archives-ouvertes.fr/



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