Parameter estimation in infinite-dimensional stochastic differential equations

DOI10.1016/S0167-7152(99)00059-0zbMath0980.62091OpenAlexW1969876365MaRDI QIDQ1124979

Yoon Tae Kim

Publication date: 6 March 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00059-0

zbMATH Keywords

semimartingalesstochastic differential equationsquasi-likelihood estimator

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Inference from stochastic processes (62M99)

Related Items (1)

Robust \(H_{\infty}\) control for linear stochastic partial differential systems with time delay

Cites Work

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• Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equations
• Semimartingales: A course on stochastic processes
• Quasi-likelihood estimation for semimartingales
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• On stochastic squations with respect to semimartingales III

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