Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model

DOI10.15559/15-VMSTA21MaRDI QIDQ340755zbMATH OpenFDO

Authors K. V. Ral'chenko

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.01810

zbMATH Keywords

asymptotic normalitystochastic differential equationdrift parameterdiscretized model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.

Cites work

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Cited in

(1)

• Adaptive control of diffusion processes with a discounted reward criterion

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