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Paper No. 15-05

Download 15-05

Papavasiliou A and Zhang F

Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck Processes

Abstract: We study the problem of estimating the parameters of an Ornstein-Uhlenbeck (OU) process that is the coarse-grained limit of a multiscale system of OU processes, given data from the multiscale system. We consider both the averaging and homogenization cases and both drift and diffusion coefficients. By restricting ourselves to the OU system, we are able to substantially improve the results in [26, 23] and provide some intuition of what to expect in the general case.

Keywords: multiscale diffusions, Ornstein-Uhlenbeck process, parameter estimation, maximum likelihood, subsampling.