On the estimation of parameters for linear stochastic differential equations

DOI10.1007/S004400050213zbMATH Open0980.62090OpenAlexW2014786660MaRDI QIDQ1291164FDOQ1291164

Authors: R. Z. Khas'minskiĭ, N. V. Krylov, N. K. Moshchuk 

Publication date: 6 March 2002

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050213

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes (62M99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (26)

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• Estimation for nonlinear stochastic differential equations by a local linearization method¹
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• On the Statistical Treatment of Linear Stochastic Difference Equations
• Linear estimation of boundary value stochastic processes-- Part I: The role and construction of complementary models
• Parameter estimation for SPDEs with multiplicative fractional noise
• Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
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• A perturbative approach for reconstructing diffusion coefficients
• Numerical differentiation and parameter estimation in higher-order linear stochastic systems
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• ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
• On Parameter Estimation for Linear and Nonlinear Stochastic Systems
• Estimation of the parameters in stochastic differential equations

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