A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2018; you can also visit the original URL.
The file type is `application/pdf`

.

##
###
Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient

2015
*
E S A I M: Probability & Statistics
*

We consider N independent stochastic processes (Xi(t), t ∈ [0, T ]), i = 1, . . . , N , defined by a stochastic differential equation with diffusion coefficients depending linearly on a random variable φi. The distribution of the random effect φi depends on unknown population parameters which are to be estimated from a discrete observation of the processes (Xi). The likelihood generally does not have any closed form expression. Two estimation methods are proposed: one based on the Euler

doi:10.1051/ps/2015006
fatcat:zlmolmnzsrfnznl557ajcqadse