Parameter estimation for mean-reversion type stochastic differential equations from discrete observations
by Chao Wei
International Journal of Computing Science and Mathematics (IJCSM), Vol. 15, No. 2, 2022

Abstract: This paper is concerned with the parameter estimation problem for mean-reversion type stochastic differential equations from discrete observations. The Girsanov transformation is used to simplify the equation because of the expression of the drift coefficient. The approximate likelihood function is given, the consistency of the estimator and asymptotic normality of the error of estimation are proved. An example is provided to verify the results.

Online publication date: Thu, 07-Jul-2022

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