Stochastic equations in the problems of semimartingale parameter estimation

DOI10.1023/B:JOTH.0000028706.94242.A6MaRDI QIDQ1780285zbMATH OpenOpenAlexFDO

Authors Niranjan Chakravarthy

Publication date 7 June 2005

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:joth.0000028706.94242.a6

zbMATH Keywords

Carathéodory-type stochastic differential equationcontinuous alternativesconvergence of solutionsestimational stochastic equationsinnovation processMarkov chainnonlinear filteringpartially observable diffusion-type processesRobbins-Monro-type stochastic differential equationsrobust estimations in statistical models associated with semimartingalessemimartingalesshrinking contamination neighborhoodsstrong consistency

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(9)

• Robust parameter estimation for stochastic differential equations
• Parameter estimation in stochastic differential equations.
• The Robbins-Monro type SDE and recursive estimation
• scientific article; zbMATH DE number 1326919 (Why is no real title available?)
• Consistent statistical estimation in semimartingale models of stochastic approximation
• Stochastic differential equations: singularity of coefficients, regression models, and stochastic approximation
• On Robins’ formula
• scientific article; zbMATH DE number 2154765 (Why is no real title available?)
• Asymptotic behaviour of solutions of stochastic equations and applications in statistics

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