Approximate maximum likelihood estimation for stochastic differential equations with random effects in the drift and the diffusion
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DOI: 10.1007/s00184-018-0666-z
Abstract: Consider N independent stochastic processes $$(X_i(t), t\in [0,T])$$(Xi(t),t∈[0,T]), $$i=1,\ldots , N$$i=1,…,N, defined by a stochastic differential equation with random effects where the drift term depends linearly on a random vector $$\Phi _i$$Φi and the diffusion… read more here.
Keywords: effects drift; estimation; diffusion; stochastic differential ... See more keywords