Diffusion process with evolution and its parameter estimation

DOI10.1007/S10559-020-00293-YzbMATH Open1454.62248OpenAlexW3090812024MaRDI QIDQ2215848FDOQ2215848

Yanyan Li

Publication date: 14 December 2020

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-020-00293-y

zbMATH Keywords

Ornstein-Uhlenbeck processdiffusion approximationdrift parameter estimationdiscrete Markov processasymptotic diffusion environmentphase merging

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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• Stochastic Calculus and Applications

Cited In (2)

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