SPEAKER:
Paolo Pigato
AFFILIATION:
INRIA Nancy-Grand Est
TITLE:
Statistical estimation of diffusion processes with discontinuous coefficients
ABSTRACT:
We consider the problem of estimating the parameters of the Oscillating Brownian Motion, a classical example of stochastic differential equation with discontinuous diffusion coefficient. We see how to construct this process as limit of Oscillating Random Walks, and consider the problem of statistical estimation of these discrete objects. We then study the convergence of some estimators for the parameters of the limiting process.