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

DOI10.1137/1122047MaRDI QIDQ4158355zbMATH OpenOpenAlexFDO

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
• Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation
• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias

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