Estimation of a Parameter of a Diffusion Process

DOI10.1137/1123076MaRDI QIDQ3865317zbMATH OpenOpenAlexFDO

Authors Yu. 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

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

Cited in

(9)

• Robust M-estimators in diffusion processes
• Estimation for diffusion processes from discrete observation
• Quasi-likelihood estimation for semimartingales
• Convergence analysis of parametric identification methods for jump processes
• On goodness-of-fit tests for parametric hypotheses in perturbed dynamical systems using a minimum distance estimator
• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
• Stochastic Pareto diffusion process: statistical analysis and computational issues. Simulation and application
• On continuous and discrete sampling for parameter estimation in Markovian switching diffusions
• Asymptotic behavior of M-estimator and related random field for diffusion process

This page was built for publication: Estimation of a Parameter of a Diffusion Process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3865317)