Statistical problems for SDEs and for backward SDEs
type: Dataset
description: We consider two problems in this work. The first one is the goodness of fit test for the model of ergodic diffusion process. We consider firstly the case where the process under the null hypothesis belongs to a given parametric family. We study the Cramer-von Mises type and the Kolmogorov-Smirnov type tests in different cases. The unknown parameter is estimated via the maximum likelihood estimator or the minimum distance estimator, then we construct the tests in using the local time estimator for the invariant density function, or the empirical distribution function. We show that both the Cramer-von Mises type and the Kolmogorov-Smirnov type statistics converge to some limits which do not depend on the unknown parameter, thus the tests are asymptotically parameter free. The alternatives as usual are nonparametric and we show the consistency of all these tests. Then we study the chi-square test. The basic hypothesis is now simple The chi-square test is asymptotically distribution free. Moreover, we study also power function of the chi-square test to compare with the others. The other problem is the approximation of the forward-backward stochastic differential equations. Suppose that we observe a diffusion process satisfying some stochastic differential equation, where the trend coefficient depends on some unknown parameter. We try to construct a couple of processes such that the final value of one is a function of the final value of the given diffusion process. We show that when the diffusion coefficient is small, the couple of processes approximates well the solution of a backward stochastic differential equation. Moreover, we present that this approximation is asymptotically efficient.
identifier: NNT: 2013LEMA1004
issued: 2026-05-11T16:05:33.427985
language: en
modified: 2026-05-11T16:05:33.427990
contact point: Organization
  fn: CCSD
keyword: asymptotically-distribution-free
keyword: asymptotically-parameter-free
keyword: asymptotiquement-efficace
keyword: edsr
keyword: infoeu-reposemanticsdoctoralthesis
keyword: mathmath-gmmathematics-mathgeneral-mathematics-mathgm
keyword: processus-de-diffusion-ergodique
keyword: tests-dajustement
keyword: theses
landing page: https://theses.hal.science/tel-00808623

Statistical problems for SDEs and for backward SDEs
type: Distribution
format: HTML
issued: 2026-05-11T16:05:33.435312
modified: 2026-05-11T16:05:33.415438
access URL: https://theses.hal.science/tel-00808623

test_moissonnage_selune
type: Agent