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Pré-Publication, Document De Travail Année : 2010

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

Valentine Genon-Catalot
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Résumé

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
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Dates et versions

hal-00448996 , version 1 (20-01-2010)

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  • HAL Id : hal-00448996 , version 1

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Valentine Genon-Catalot. Parameter estimation for stochastic differential equations from noisy observations. Maximum likelihood and filtering techniques. Lipari 2009 biomathematics summer school.. 2010. ⟨hal-00448996⟩
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