Recursive Estimation in Diffusion Model
DOI10.1137/0319043zbMath0474.93060OpenAlexW2024622465MaRDI QIDQ3931282
Nguyen Trung Hung, Gerald Jean Francis Banon
Publication date: 1981
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0319043
Wiener processdiffusion modelstrong consistencynonlinear identificationstationary Markov processone dimensional observation processasymptotic properties of the estimatorsasymptotically uncorrelated processrecursive estimates of Yamato type
Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Diffusion processes (60J60)
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