To the parameter identification of Markov diffusions; the use of the maximum quadratic variation functional
From MaRDI portal
Publication:1897654
DOI10.1016/0378-4754(93)E0063-BzbMath0824.60055OpenAlexW2053270114MaRDI QIDQ1897654
Publication date: 6 November 1995
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0063-b
parametric identificationnumerical experimentsmartingale propertyproperties of Markov diffusionsstatistics of Markov diffusions
Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work