Various parameter estimation techniques for stochastic differential equations

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Fen Bilimleri Enstitüsü, Türkiye

Tezin Onay Tarihi: 2019

Tezin Dili: İngilizce

Öğrenci: SEMİH ERGİŞİ

Danışman: Ceren Vardar Acar

Özet:

Dynamic systems appear in many fields from economics to physics, from biology toengineering include randomness. Therefore, stochastic differential equations are oneof the necessary mathematical tools to model dynamic systems in these disciplines.In this study, we propose two parameter estimation methods when modelling withSDEs which are driven by Brownian motion. Maximum likelihood estimation andgeneralized method of moment techniques are used to estimate parameters and it isobtained that when the assumptions for Brownian motion satisfy, both techniques givethe same result.