Recursive parameter estimation in the trend coefficient of a diffusion process

DOI10.1515/GMJ.2010.037MaRDI QIDQ3068155zbMATH OpenOpenAlexFDO

Authors N. Lazrieva, Teimuraz Toronjadze

Publication date 13 January 2011

Published in gmj (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/gmj.2010.037

zbMATH Keywords

diffusionrecursive parameter estimationRobbins-Monro type SDEstochastic approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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