Parameter estimation in continuous-time stochastic processes

DOI10.1080/17442508208833238zbMath0499.62076MaRDI QIDQ3965451

Vivek S. Borkar, Arunabha Bagchi

Publication date: 1982

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508208833238

zbMATH Keywords

Ito processes; almost sure characterization of sample path-wise limit sets of maximum likelihood estimates; parametrized drift; uniform strong law of large numbers for stochastic integrals

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

62M99: Inference from stochastic processes

60H05: Stochastic integrals

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Cites Work

• Asymptotic inference for stochastic processes
• Transformation of local martingales under a change of law
• The strong consistency of maximum likelihood estimators for ARMA processes
• Identification and Adaptive Control of Markov Chains
• Estimation and control in Markov chains
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