Overview
- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Mathematics (LNM, volume 1923)
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Table of contents (10 chapters)
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Front Matter
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Continuous Sampling
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Front Matter
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Discrete Sampling
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Front Matter
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Back Matter
Keywords
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.
Reviews
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)
Authors and Affiliations
Bibliographic Information
Book Title: Parameter Estimation in Stochastic Differential Equations
Authors: Jaya P. N. Bishwal
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/978-3-540-74448-1
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2008
Softcover ISBN: 978-3-540-74447-4Published: 12 October 2007
eBook ISBN: 978-3-540-74448-1Published: 26 September 2007
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: XIV, 268
Topics: Analysis, Probability Theory and Stochastic Processes, Quantitative Finance, Statistical Theory and Methods, Numerical Analysis, Game Theory, Economics, Social and Behav. Sciences