A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation

Bernoulli ◽  
2021 ◽  
Vol 27 (4) ◽  
Author(s):  
Christophe Denis ◽  
Charlotte Dion-Blanc ◽  
Miguel Martinez
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Ridge Estimator ◽  
Repeated Observations

On Approximate Large Deviations for 1D Diffusion

2003 ◽  
Vol 10 (2) ◽  
pp. 381-399
Author(s):  
A. Yu. Veretennikov
Keyword(s):  
Differential Equation ◽  
Exact Solution ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Approximation Scheme ◽  
Sufficient Conditions ◽  
Rate Function ◽  
Euler Approximation ◽  
One Dimensional

Abstract We establish sufficient conditions under which the rate function for the Euler approximation scheme for a solution of a one-dimensional stochastic differential equation on the torus is close to that for an exact solution of this equation.

Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion

2020 ◽  
Vol 28 (3) ◽  
pp. 183-196
Author(s):  
Kouacou Tanoh ◽  
Modeste N’zi ◽  
Armel Fabrice Yodé
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Maximum Likelihood ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Maximum Likelihood Estimator ◽  
Bayes Estimator ◽  
Likelihood Estimator

AbstractWe are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.

scholarly journals A spatially varying stochastic differential equation model for animal movement

2018 ◽  
Vol 12 (2) ◽  
pp. 1312-1331 ◽  
Author(s):  
James C. Russell ◽  
Ephraim M. Hanks ◽  
Murali Haran ◽  
David Hughes
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Animal Movement ◽  
Equation Model ◽  
Differential Equation Model ◽  
Spatially Varying
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