Infinite-sample consistent estimations of parameters of the Wiener process with drift

Authors Levan Labadze, G. Saatashvili, Gogi Pantsulaia

Publication date 3 November 2016

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: We consider the Wiener process with drift

dX_t=mu dt +sigma d W_t

with initial value problem

X_{0} = x_{0}

, where

x_{0} i n R

,

m u i n R

and

s i g m a > 0

are parameters. By use values

(z_{k})_{k i n N}

of corresponding trajectories at a fixed positive moment

t

, the infinite-sample consistent estimates of each unknown parameter of the Wiener process with drift are constructed under assumption that all another parameters are known. Further, we propose a certain approach for estimation of unknown parameters

x_{0}, m u, s i g m a

of the Wiener process with drift by use the values

(z_{k}^{(1)})_{k i n N}

and

(z_{k}^{(2)})_{k i n N}

being the results of observations on the

2 k

-th and

2 k + 1

-th trajectories of the Wiener process with drift at moments

t_{1}

and

t_{2}

, respectively.

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