LEAST SQUARES ESTIMATORS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH MARKOVIAN SWITCHING

被引：2
|
作者：
Zhen, Yuhang [1 ]
Xi, Fubao [1 ]
机构：
[1] Beijing Inst Technol, Sch Math & Stat, Beijing 100081, Peoples R China
来源：
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2023年 / 28卷 / 07期
基金：
中国国家自然科学基金;
关键词：
Least squares estimator; consistency; asymptotic distribution; stochas-tic differential equation; Markovian switching; ORNSTEIN-UHLENBECK PROCESSES; DIFFUSION; DRIVEN; INFERENCE;
D O I：
10.3934/dcdsb.2022258
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This work focuses on the parameter estimation for a class of switch-ing diffusion processes which contains a continuous component and a discrete component. Under suitable conditions, we adopt the least square method to deal with the parameter estimation of stochastic differential equations with Markovian switching. More precisely, we first prove the consistency and the as-ymptotic distributions of the parameter estimator of least squares when epsilon-+ 0 and Delta-+ 0. Then, we present an example of numerical simulation to illustrate the correctness of the results.
引用
收藏
页码：4068 / 4086
页数：19
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