Work

Kolmogorov bounds for maximum likelihood drift estimation for discretely sampled SPDEs

Year: 2024

Type: article

Abstract: In this paper, we investigate an approximative maximum likelihood estimator (MLE) for the drift coefficient of a stochastic partial differential equation in the case where the corresponding Fourier coefficients $u_{k}(t)$ , $k=1, \ldots , N$ over a finite interval of time $[0, T]$ are observed on a uniform time grid: $0=t_{0}< t_{1}<\cdots

Source: Advances in Continuous and Discrete Models

DOI: 10.1186/s13662-024-03851-2

Authors: Abdulaziz Alsenafi, Fares Alazemi, Khalifa Es-Sebaiy

Institution: Kuwait University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $1,790

OpenAlex ID: W4404501529

FWCI:

Cites: 12

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Related to: 10