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

Markov chainstrong consistencysemimartingalesconvergence of solutionsnonlinear filteringinnovation process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Carath%EF%BF%BD%EF%BF%BDodory-type+stochastic+differential+equation&go=Go Carath��odory-type stochastic differential equation]continuous alternativesestimational stochastic equationspartially observable diffusion-type processesRobbins-Monro-type stochastic differential equationsrobust estimations in statistical models associated with semimartingalesshrinking contamination neighborhoods

Mathematics Subject Classification ID

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

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• Parameter estimation in stochastic differential equations.
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• Asymptotic behaviour of solutions of stochastic equations and applications in statistics
• Consistent statistical estimation in semimartingale models of stochastic approximation

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