Geodesic
Estimates of the parameters in system of stochastic differential equations with linear inclusion of parameters
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 2 (1999) no. 1, pp. 1-11 
S. S. Artem'ev; M. A. Yakunin. Estimates of the parameters in system of stochastic differential equations with linear inclusion of parameters. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 2 (1999) no. 1, pp. 1-11. http://geodesic.mathdoc.fr/item/SJVM_1999_2_1_a0/
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Voir la notice de l'article provenant de la source Math-Net.Ru

In this paper we give the method of calculating the maximum-likelihood estimates of the parameters in nonlinear system of stochastic differential equations, when unknown parameters are linearly included in the right-hand side of system. Maximum-likelihood function is constructed on the basis of the Euler scheme, that describes the discrete observations of the solution to equations system. We set the conditions to attain the maximum by the likelihood function. Estimates of the parameters are calculated by the iterative method. We consider the special cases of equations and give examples of calculations.

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