ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493701000035zbMATH Open1064.62092MaRDI QIDQ4460412FDOQ4460412

Grigori N. Milstein, R. Z. Khas'minskiĭ

Publication date: 18 May 2004

Published in: Stochastics and Dynamics (Search for Journal in Brave)

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zbMATH Keywords

maximum likelihood estimatorlocal asymptotic normalitystochastic stabilityAsymptotic efficiency

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Cites Work

• Estimation of parameters of linear homogeneous stochastic differential equations
• On the estimation of parameters for linear stochastic differential equations

Cited In (13)

• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Variational estimation of the drift for stochastic differential equations from the empirical density
• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Explicit criteria for mean square exponential stability of stochastic differential equations
• Finite-time adaptive control for a class of switched stochastic uncertain nonlinear systems
• New results on exponential stability in mean square of neutral stochastic equations with delays
• New criteria for mean square exponential stability of stochastic delay differential equations
• Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
• On stability of solutions of stochastic delay differential equations
• On exponential stability in mean square of neutral stochastic functional differential equations
• Lyapunov criteria for the Feller-Dynkin property of martingale problems
• On Parameter Estimation for Linear and Nonlinear Stochastic Systems
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

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