ENGLISH

Parameter estimation in stochastic differential equations

By Jaya P. N. Bishwal (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2008
ISBN
3540744479, 978-3-540-74447-4
DOI
10.1007/978-3-540-74448-1
ISSN
0075-8434
Open Library ID
OL12810615M
Language
english
Format
PDF
Filesize
3 MB (2791698 bytes)
Series
Lecture notes in mathematics 1923
Edition
1
Pages
268\268
Library
torrents.ru tech collections 2009-11-14
Time added
2010-01-11 02:35:34
EconomicsProbability Theory and Stochastic Processes; QuantSocial and Behav. Sciences

Description

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.

Similar books