Estimation of a Parameter of a Diffusion Process

DOI10.1137/1123076zbMath0428.62053OpenAlexW1971915612MaRDI QIDQ3865317

Yury A. Kutoyants

Publication date: 1979

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1123076

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (7)

On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator ⋮ Robust M-estimators in diffusion processes ⋮ Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias ⋮ Estimation for diffusion processes from discrete observation ⋮ Asymptotic behavior of M-estimator and related random field for diffusion process ⋮ Quasi-likelihood estimation for semimartingales ⋮ Convergence analysis of parametric identification methods for jump processes

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