Markov stopping sets and stochastic integrals. Application in sequential estimation for a random diffusion field

DOI10.1016/0304-4149(89)90078-1MaRDI QIDQ1825571zbMATH OpenOpenAlexFDO

Authors Roman Rózański

Publication date 1989

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(89)90078-1

zbMATH Keywords

diffusion random fielddrift coefficientMarkov stopping setsequential plansstochastic integrationWiener random fields

Mathematics Subject Classification ID

Random fields (60G60) Stochastic integrals (60H05) Sequential estimation (62L12) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)

Review text

The author considers the problem of sequentially estimating the drift coefficient of some diffusion random field. He obtains sequential plans with certain optimality properties. These results are based on theorems which carry over well-known formulas on stochastic integration and stopping times to the case of Wiener random fields. Similar results were obtained by \textit{M. Sørensen} [Int. Stat. Rev. 54, 191-210 (1986; Zbl 0604.62074)] and \textit{V. T. Stefanov} [Ann. Stat. 14, 1606-1611 (1986; Zbl 0617.62087)] under the additional assumption that the models under considerations possess an exponential structure.

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Cites work

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Cited in

(6)

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• scientific article; zbMATH DE number 3969943 (Why is no real title available?)
• scientific article; zbMATH DE number 32255 (Why is no real title available?)
• On Estimation of the Mean and Covariance Parameter for Gaussian Random Fields
• Estimation in discretely observed diffusions killed at a threshold

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