| 正倒向随机微分方程的参数估计 |
| |
| 引用本文： | 梁齐珠,熊捷.正倒向随机微分方程的参数估计[J].中国科学:数学,2019(3):433-446. |
| |
| 作者姓名： | 梁齐珠 熊捷 |
| |
| 作者单位： | 澳门大学数学系;南方科技大学数学系 |
| |
| 基金项目： | 澳门科学技术发展基金(批准号:025/2016/A1)资助项目 |
| |
| 摘 要： | 本文的研究目标是离散观测下正倒向随机微分方程中未知参数的估计及其性质.作为第一步,本文考虑一个线性模型.本文先导出两个状态过程的关系式,进而找到离散观测数据的似然函数.最后详细讨论最大似然估计量的相合性和渐近正态性.
|
| 关 键 词： | 正倒向随机微分方程 最大似然估计 离散观测 |
Parameter estimation on forward-backward stochastic differential equations |
| |
| Qizhu Liang,Jie Xiong.Parameter estimation on forward-backward stochastic differential equations[J].Scientia Sinica Mathemation,2019(3):433-446. |
| |
| Authors: | Qizhu Liang Jie Xiong |
| |
| Abstract: | This work aims at parameter estimation for discretely observed forward-backward stochastic differential equations.As the first step,we consider a linear model in this paper.The relationship between the forward and backward state processes is derived and hence the likelihood function with respect to discrete observations is determined.The consistency and asymptotic normality of the maximum likelihood estimator are discussed in details. |
| |
| Keywords: | forward-backward stochastic differential equation maximum likelihood estimation discrete observa tions |
| 本文献已被 CNKI 维普 等数据库收录！ |
