Stochastic continuous-time model reference adaptive systems with decreasing gain

DOI10.2307/1427023MaRDI QIDQ3954694zbMATH OpenOpenAlexFDO

Authors Knut Kristian Aase

Publication date 1982

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427023

zbMATH Keywords

autoregressive processcontinuous stochastic modelscontinuous-time model reference adaptive systemscriterion for explosionsdecreasing gainlogistic modellogistic modelsoptimality propertiesOrnstein-Uhlenbeck processrecursive estimation of drift parameter of Ito processstate space invariancestrong consistencyweak convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes: hypothesis testing (62M02) Markov processes: estimation; hidden Markov models (62M05)

Cited in

(7)

• Ruin problems and myopic portfolio optimization in continuous trading
• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Recursive identification in continuous-time stochastic processes
• Stability for multidimensional jump-diffusion processes
• Convergence analysis of parametric identification methods for jump processes
• MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES
• Optimum portfolio diversification in a general continuous-time model

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