ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493701000035zbMath1064.62092MaRDI QIDQ4460412

Grigori N. Milstein, Rafail Z. Khasminskii

Publication date: 18 May 2004

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

zbMATH Keywords

local asymptotic normality; stochastic stability; maximum likelihood estimator; Asymptotic efficiency

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

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

93E15: Stochastic stability in control theory

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Cites Work

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