Approximation of the Likelihood Function for Stochastic Differential Equations with Markovian Switching

被引：0
|
作者：
Zhen, Yuhang [1 ]
机构：
[1] Beijing Inst Technol, Sch Math & Stat, Beijing 100081, Peoples R China
来源：
MARKOV PROCESSES AND RELATED FIELDS | 2022年 / 28卷 / 04期
关键词：
Likelihood function; Convergence; Markovian switching; Stochastic differential equations; EXPONENTIAL-FAMILIES; DIFFUSION; PARAMETER;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We establish the following rates of convergence of the approximation of the Log-likelihood function for stochastic differential equations with Markovian switching. This is an extension of Theorem 2.1 in [27] to switching Markov case who obtained it for stationary homogeneous diffusions with some stronger regularity conditions.
引用
收藏
页码：527 / 546
页数：20
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