Lecture Notes in Mathematics

Parameter Estimation in Stochastic Differential Equations

Authors: Bishwal, Jaya P. N.

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About this book

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 like economics and finance. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods. Useful because of the current availability of high frequency data is the study of refined asymptotic properties of several estimators when the observation time length is large and the observation time interval is small. Also space time white noise driven models, useful for spatial data, and more sophisticated non-Markovian and non-semimartingale models like fractional diffusions that model the long memory phenomena are examined in this volume.

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From the reviews:

"This book deals with a variety of statistical inference problems for stochastic differential equations … . In each chapter the author starts with useful introductory notes clearly describing the specific models and the problems. … A series of interesting and well commented examples are provided as an illustration. … Among the readers who can benefit from this carefully written book are researchers and postgraduate students in stochastic modelling; especially those working in areas such as physics, engineering, biology and finance." (Jordan M. Stoyanov, Zentralblatt MATH, Vol. 1134 (12), 2008)


Table of contents (10 chapters)

Table of contents (10 chapters)

Buy this book

eBook 42,79 €
price for Spain (gross)
  • ISBN 978-3-540-74448-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • Immediate eBook download after purchase and usable on all devices
  • Bulk discounts from 10 eBooks
Softcover 51,99 €
price for Spain (gross)
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Bibliographic Information

Bibliographic Information
Book Title
Parameter Estimation in Stochastic Differential Equations
Authors
Series Title
Lecture Notes in Mathematics
Series Volume
1923
Copyright
2008
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-74448-1
DOI
10.1007/978-3-540-74448-1
Softcover ISBN
978-3-540-74447-4
Series ISSN
0075-8434
Edition Number
1
Number of Pages
XIV, 268
Topics