Parameter estimation in infinite-dimensional stochastic differential equations

DOI10.1016/S0167-7152(99)00059-0MaRDI QIDQ1124979zbMATH OpenOpenAlexFDO

Authors Yoon Tae Kim

Publication date 6 March 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(99)00059-0

zbMATH Keywords

stochastic differential equationssemimartingalesquasi-likelihood estimator

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Generalizations of martingales (60G48)

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Cites work

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• Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equations
• On stochastic squations with respect to semimartingales III
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Quasi-likelihood estimation for semimartingales
• Semimartingales: A course on stochastic processes

Cited in

(4)

• scientific article; zbMATH DE number 431862 (Why is no real title available?)
• A parameter estimation for a type of stochastic partial differential equation in the infinite dimensional space
• Estimation of spatially varying parameters with application to hyperbolic SPDEs
• Robust \(H_{\infty}\) control for linear stochastic partial differential systems with time delay

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