Stochastic Differential Equations: Simulation, Parameter Estimation and Applications
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Stochastic differential equations (SDEs), including time-homogeneous Itoˆ diffusion processes, play an essential role in modelling phenomena in various fields, including physics, biology and finance. The parameters of the stochastic model are usually unknown in reality. Statistical inference on the unknown parameters of an Itoˆ diffusion process has continued to attract in- creasing attention in the last decades. Because in general, the maximum likelihood...[Show more]
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