PATHWISE STABILITY OF LIKELIHOOD ESTIMATORS FOR DIFFUSIONS VIA ROUGH PATHS
成果类型：
Article
署名作者：
Diehl, Joscha; Friz, Peter; Mai, Hilmar
署名单位：
Technical University of Berlin; University of California System; University of California San Diego; Institut Polytechnique de Paris; ENSAE Paris
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/15-AAP1143
发表日期：
2016
页码：
2169-2192
关键词：
摘要：
We consider the classical estimation problem of an unknown drift parameter within classes of nondegenerate diffusion processes. Using rough path theory (in the sense of T. Lyons), we analyze the Maximum Likelihood Estimator (MLE) with regard to its pathwise stability properties as well as robustness toward misspecification in volatility and even the very nature of the noise. Two numerical examples demonstrate the practical relevance of our results.
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