Goodness-of-fit tests for perturbed dynamical systems

We consider the goodness-of-fit testing problem for stochastic differential equation with small diffusion coefficient. The basic hypothesis is always simple and it is described by the known trend coefficient. We propose several tests of the type of Cramér–von Mises, Kolmogorov–Smirnov and Chi-Square. The power functions of these tests we study for a special classes of close alternatives. We discuss the construction of the goodness-of-fit test based on the local time.