Maximum likelihood estimation in Skorohod stochastic differential equations

Bishwal, Jaya

doi:10.1090/S0002-9939-09-10113-2

Maximum likelihood estimation in Skorohod stochastic differential equations
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by Jaya P. N. Bishwal PDF

Proc. Amer. Math. Soc. 138 (2010), 1471-1478 Request permission

Abstract:

Consistency and limit distribution of the maximum likelihood estimator of a parameter in the drift coefficient of an anticipative Skorohod stochastic differential equation satisfying a boundary condition are obtained based on $n$ independent trajectories of the corresponding Skorohod diffusion inside a time interval $[0, T]$ as $n \rightarrow \infty$. The results are illustrated for the anticipative Ornstein-Uhlenbeck process.

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