Estimation of parameters in stochastic differential equations with two random effects

  • Authors

    • Mohammed Alsukaini huazhong university
    • Walaa Alkreemawi huazhong university
    • Xiang-Jun Wang huazhong university
    2016-04-18
    https://doi.org/10.14419/ijamr.v5i2.5996
  • Stochastic Differential Equations, Maximum Likelihood Estimator, Nonlinear Random Effects, Posterior Consistency, Posterior Normality.

  • Abstract

    In this paper we investigate consistency and asymptotic normality of the posterior distribution of the parameters in the stochastic differential equations (SDE’s) with diffusion coefficients depending nonlinearly on a random variables  and  (the random effects).The distributions of the random effects  and  depends on unknown parameters which are to be estimated from the continuous observations of the independent processes . We propose the Gaussian distribution for the random effect  and the exponential distribution for the random effect    , we obtained an explicit formula for the likelihood function and find the estimators of the unknown parameters in the random effects.

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  • How to Cite

    Alsukaini, M., Alkreemawi, W., & Wang, X.-J. (2016). Estimation of parameters in stochastic differential equations with two random effects. International Journal of Applied Mathematical Research, 5(2), 97-102. https://doi.org/10.14419/ijamr.v5i2.5996

    Received date: 2016-03-12

    Accepted date: 2016-04-11

    Published date: 2016-04-18