An algorithm for the estimation of parameters in models with stochastic differential equations

2008 ◽  
Vol 63 (19) ◽  
pp. 4820-4833 ◽  
Author(s):  
B. Pereira Ló ◽  
A.J. Haslam ◽  
C.S. Adjiman
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Estimation Of Parameters

scholarly journals Estimation of parameters in stochastic differential equations with two random effects

2016 ◽  
Vol 5 (2) ◽  
pp. 97
Author(s):  
Mohammed Alsukaini ◽  
Walaa Alkreemawi ◽  
Xiang-Jun Wang
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Random Effects ◽  
Posterior Distribution ◽  
Diffusion Coefficients ◽  
Likelihood Function ◽  
Random Effect ◽  
Estimation Of Parameters ◽  
Unknown Parameters ◽  
Consistency And Asymptotic Normality

<p>In this paper we investigate consistency and asymptotic normality of the posterior distribution of the parameters in the stochastic differential equations (SDE’s) with diffusion coefficients depending nonlinearly on a random variables  and  (the random effects).The distributions of the random effects  and  depends on unknown parameters which are to be estimated from the continuous observations of the independent processes . We propose the Gaussian distribution for the random effect  and the exponential distribution for the random effect    , we obtained an explicit formula for the likelihood function and find the estimators of the unknown parameters in the random effects.</p>

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