Estimation in Interacting Diffusions: Continuous and Discrete Sampling - Applied Mathematics

AM > Vol.2 No.9, September 2011

Applied Mathematics

Volume 2, Issue 9 (September 2011)

ISSN Print: 2152-7385 ISSN Online: 2152-7393

Google-based Impact Factor: 0.96 Citations

Estimation in Interacting Diffusions: Continuous and Discrete Sampling ()

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Download as PDF (Size: 232KB) PP. 1154-1158

DOI: 10.4236/am.2011.29160 5,833 Downloads 9,122 Views Citations

Author(s)

Jaya Prakash Narayan Bishwal

Affiliation(s)

ABSTRACT

Consistency and asymptotic normality of the sieve estimator and an approximate maximum likelihood estimator of the drift coefficient of an interacting particles of diffusions are studied. For the sieve estimator, observations are taken on a fixed time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the dimension of the sieve. For the approximate maximum likelihood estimator, discrete observations are taken in a time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the number of observation time points.

KEYWORDS

Stochastic Differential Equations, Mean-Field Model, Large Interacting Systems, Diffusion Process, Discrete Observations, Approximate Maximum Likelihood Estimation, Sieve Estimation

Share and Cite:

Bishwal, J. (2011) Estimation in Interacting Diffusions: Continuous and Discrete Sampling. Applied Mathematics, 2, 1154-1158. doi: 10.4236/am.2011.29160.

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