Parameter Estimation in Multidimensional Diffusion Models with Low Regularity Coefficients

This paper studies parameter estimation for discretely observed multidimensional diffusion models with low-regularity coefficients. Since the transition density of such models is typically unavailable in closed form, likelihood-based inference becomes difficult, especially in multidimensional settings. To address this problem, we construct and computationally investigate a Hermite-based quasi-maximum likelihood estimator based on a parametrix-type decomposition of the transition density. The approach yields a continuously differentiable quasi-likelihood function and allows the construction of a quasi-maximum likelihood estimator for the unknown parameter vector. In addition, conditional least-squares estimators based on first- and second-order discretizations are considered, together with one-step and Rao-type corrections. The numerical study is carried out for two nonlinear multidimensional diffusion models. The results show that the main practical differences between the competing procedures arise in the estimation of diffusion parameters. In the presented examples, the Hermite-based quasi-maximum likelihood estimator provides the most accurate and best-centered recovery of the diffusion parameter, while the corrected conditional least-squares estimators improve the corresponding uncorrected procedures to varying degrees. The drift parameter is recovered with broadly comparable accuracy by several methods. The emphasis of the present study is on computational construction and finite-sample numerical performance rather than on establishing a new asymptotic theory for the resulting estimator. These results indicate that Hermite-based quasi-likelihood estimation is a viable and computationally implementable tool for inference in multidimensional diffusion models with reduced regularity. The proposed framework may be useful in broader problems of stochastic modelling and numerical identification for nonlinear systems.

Authors

Institutions

Publication Details

Journal
Fundamental Journal of Mathematics and Applications
Published
2026-09-30
DOI
https://doi.org/10.33401/fujma.1953564
Primary Topic
Control Systems and Identification
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
article

Parameter Estimation in Multidimensional Diffusion Models with Low Regularity Coefficients

R. V. Pogorielov, D. O. Ivanenko
Fundamental Journal of Mathematics and Applications
Control Systems and Identification
article

Parameter Estimation in Multidimensional Diffusion Models with Low Regularity Coefficients

R. V. Pogorielov, D. O. Ivanenko
article en

Abstract

This paper studies parameter estimation for discretely observed multidimensional diffusion models with low-regularity coefficients. Since the transition density of such models is typically unavailable in closed form, likelihood-based inference becomes difficult, especially in multidimensional settings. To address this problem, we construct and computationally investigate a Hermite-based quasi-maximum likelihood estimator based on a parametrix-type decomposition of the transition density. The approach yields a continuously differentiable quasi-likelihood function and allows the construction of a quasi-maximum likelihood estimator for the unknown parameter vector. In addition, conditional least-squares estimators based on first- and second-order discretizations are considered, together with one-step and Rao-type corrections. The numerical study is carried out for two nonlinear multidimensional diffusion models. The results show that the main practical differences between the competing procedures arise in the estimation of diffusion parameters. In the presented examples, the Hermite-based quasi-maximum likelihood estimator provides the most accurate and best-centered recovery of the diffusion parameter, while the corrected conditional least-squares estimators improve the corresponding uncorrected procedures to varying degrees. The drift parameter is recovered with broadly comparable accuracy by several methods. The emphasis of the present study is on computational construction and finite-sample numerical performance rather than on establishing a new asymptotic theory for the resulting estimator. These results indicate that Hermite-based quasi-likelihood estimation is a viable and computationally implementable tool for inference in multidimensional diffusion models with reduced regularity. The proposed framework may be useful in broader problems of stochastic modelling and numerical identification for nonlinear systems.

Fundamental Journal of Mathematics and ApplicationsVol. 9(3)
Taras Shevchenko National University of Kyiv (UA)
Openalex Percentile: Top 16%
Control Systems and Identification
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.

Parameter Estimation in Multidimensional Diffusion Models with Low Regularity Coefficients — R. V. Pogorielov, D. O. Ivanenko · Fundamental Journal of Mathematics and Applications (2026) | TGRS Research Map | TGRS