On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes

DOI10.2307/1402735zbMATH Open0509.62075OpenAlexW2313319246MaRDI QIDQ4747422FDOQ4747422

Authors: Michael Sørensen 

Publication date: 1983

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1402735

zbMATH Keywords

asymptotic normalitysurveyconsistencygeometric Brownian motionstochastic differential equationsFisher informationreviewcurved exponential familyintrinsic timeRadon-Nikodym derivativesnew resultsaffine ancillarysequential maximum likelihood estimationcontinuously observed processesrandomly stopped diffusion-type processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (11)

• Maximum likelihood estimator for the drift of a Brownian flow
• Extended Black and Scholes model under bankruptcy risk
• Non-parametric estimation for partially observed transient diffusion processes
• Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias
• On exponential families of Markov processes
• A note on statistical inference for a class of diffusions and approximate diffusions
• Exponential families of stochastic processes and Lévy processes
• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• Estimation in discretely observed diffusions killed at a threshold
• Markov stopping sets and stochastic integrals. Application in sequential estimation for a random diffusion field

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