ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
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Publication:4460412
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)
local asymptotic normality; stochastic stability; maximum likelihood estimator; Asymptotic efficiency
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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