Parameter estimation in continuous-time stochastic processes

DOI10.1080/17442508208833238MaRDI QIDQ3965451zbMATH OpenOpenAlexFDO

Authors Vivek Borkar, Arunabha Bagchi

Publication date 1982

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508208833238

zbMATH Keywords

almost sure characterization of sample path-wise limit sets of maximum likelihood estimatesIto processesparametrized driftuniform strong law of large numbers for stochastic integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)

Cites work

• Asymptotic inference for stochastic processes
• Estimation and control in Markov chains
• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 3456236 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• Identification and Adaptive Control of Markov Chains
• The strong consistency of maximum likelihood estimators for ARMA processes
• Transformation of local martingales under a change of law

Cited in

(21)

• The consistency of a nonlinear least squares estimator from diffusion processes
• Parameter estimation in stochastic systems: some recent results and applications
• Parameter identification for hyperbolic stochastic systems
• Recursive identification in continuous-time stochastic processes
• Almost self-optimizing strategies for the adaptive control of diffusion processes
• On the ergodic and the adaptive control of stochastic differential delay systems
• Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions
• Nonconsistent estimation by diffusion type observations
• The Kumar-Becker-Lin scheme revisited
• Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
• On nearly self-optimizing strategies for a discrete-time uniformly ergodic adaptive model
• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
• Parameter identification in infinte dimensional linear systems
• Adaptive control of diffusion processes with a discounted reward criterion
• Uniform Decay and Equicontinuity for Normalized, Parameter Dependent, ITO Integrals
• Ergodic control of multidimensional diffusions. II: Adaptive control
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Maximum likelihood estimation for nonlinear reflected stochastic differential equations
• Linearization of ergodic McKean SDEs and applications
• Self-tuning control of diffusions without the identifiability condition
• Boundary value processes: Estimation and identification

This page was built for publication: Parameter estimation in continuous-time stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3965451)