Estimation of the Trend Parameter of a Diffusion Process in the Smooth Case

DOI10.1137/1122047zbMATH Open0379.62072OpenAlexW2064034496MaRDI QIDQ4158355FDOQ4158355

Authors: Yu. A. Kutoyants 

Publication date: 1977

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1122047

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Cited In (8)

• On the multi-step MLE-process for ergodic diffusion
• Robust M-estimators in diffusion processes
• Asymptotic behavior of M-estimator and related random field for diffusion process
• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Statistical aspects of the fractional stochastic calculus
• Parameter estimation in uncertain differential equations
• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation

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