Sequential estimation of the parameters of diffusion processes

DOI10.1007/BF01099072zbMath0256.62077MaRDI QIDQ2559125

Alexander Novikov

Publication date: 1973

Published in: Mathematical Notes (Search for Journal in Brave)

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Sequential estimation (62L12)

Related Items (8)

Exponential families of stochastic processes and Lévy processes ⋮ On the duration of sequential estimation of parameters of stochastic processes in discretetime ⋮ Authors' Response ⋮ Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises ⋮ Sequential testing of hypotheses about drift for Gaussian diffusions ⋮ Editor's Special Invited Paper: Sequential Estimation for Time Series Models ⋮ Estimation in Discretely Observed Diffusions Killed at a Threshold ⋮ Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion

Cites Work

• Equivalent Gaussian Measures with a Particularly Simple Radon-Nikodym Derivative
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