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A new approach to maximum likelihood estimation for stochastic differential equations based on discrete observations. (English) Zbl 0827.62087

Summary: We consider maximum likelihood estimation for stochastic differential equations based on discrete observations when the likelihood function is unknown. A sequence of approximations to the likelihood function is derived, and convergence results for the sequence are proven. Estimation by means of the approximate likelihood functions is easy and very generally applicable. The performance of the suggested estimators is studied in two examples, and they are compared with other estimators.

MSC:

62M05 Markov processes: estimation; hidden Markov models
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
62F12 Asymptotic properties of parametric estimators