Statistical methods for stochastic differential equations

These chapters grew out of the main lectures at the seventh European Statistics Seminar, a gathering for early-career researchers that aims to bring them quickly up to speed on fast-moving areas of statistics. The seminar took place in May 2007 at La Manga del Mar Menor in Cartagena, Spain. The chapters are revised versions of those lectures and are written in a tutorial style, in keeping with the earlier books that came from the same seminar series.

Stochastic differential equations are now a core modelling tool for everything from financial markets to neuroscience, which makes reliable statistical methods for them increasingly important. The mathematical structure of these models, however, creates both theoretical and computational difficulties. The volume presents recent progress on the statistical properties of these models, and the contributions reflect the wider range of work presented at the seminar, including short talks and a poster session.