On the estimation of parameters for linear stochastic differential equations

DOI10.1007/s004400050213zbMath0980.62090OpenAlexW2014786660MaRDI QIDQ1291164

Nicolai V. Krylov, N. K. Moshchuk, Rafail Z. Khasminskii

Publication date: 6 March 2002

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050213

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inference from stochastic processes (62M99)

Related Items (5)

Parameter estimation in diagonalizable bilinear stochastic parabolic equations ⋮ Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable ⋮ PARAMETER ESTIMATION FOR SPDEs WITH MULTIPLICATIVE FRACTIONAL NOISE ⋮ ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ A perturbative approach for reconstructing diffusion coefficients

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