Parameter estimation in continuous-time stochastic processes

DOI10.1080/17442508208833238zbMATH Open0499.62076OpenAlexW1976021725MaRDI QIDQ3965451FDOQ3965451

Authors: Vivek 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 processesalmost sure characterization of sample path-wise limit sets of maximum likelihood estimatesparametrized driftuniform strong law of large numbers for stochastic integrals

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation and control in Markov chains
• Asymptotic inference for stochastic processes
• The strong consistency of maximum likelihood estimators for ARMA processes
• Identification and Adaptive Control of Markov Chains
• Transformation of local martingales under a change of law

Cited In (19)

• Parameter identification in infinte dimensional linear systems
• Ergodic control of multidimensional diffusions. II: Adaptive control
• Parameter identification for hyperbolic stochastic systems
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Uniform Decay and Equicontinuity for Normalized, Parameter Dependent, ITO Integrals
• Parameter estimation in stochastic systems: some recent results and applications
• The consistency of a nonlinear least squares estimator from diffusion processes
• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
• On nearly self-optimizing strategies for a discrete-time uniformly ergodic adaptive model
• Almost self-optimizing strategies for the adaptive control of diffusion processes
• On the ergodic and the adaptive control of stochastic differential delay systems
• Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions
• Nonconsistent estimation by diffusion type observations
• Self-tuning control of diffusions without the identifiability condition
• Adaptive control of diffusion processes with a discounted reward criterion
• Boundary value processes: Estimation and identification
• Uniform approximate estimation for nonlinear nonhomogeneous stochastic system with unknown parameter
• The Kumar-Becker-Lin scheme revisited
• Recursive identification in continuous-time stochastic processes

This page was built for publication: Parameter estimation in continuous-time stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3965451)