Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions

DOI10.1016/0304-4149(94)90021-3zbMath0801.60023OpenAlexW2020013947MaRDI QIDQ1332319

David Levanony

Publication date: 21 November 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90021-3

zbMATH Keywords

Gaussian processeslarge deviationstail probabilitiesrandom time changeBorell inequalityconsistent parameter estimators for diffusion processes

Mathematics Subject Classification ID

Strong limit theorems (60F15) Large deviations (60F10)

Cites Work

• Large deviations of estimators
• Recursive identification in continuous-time stochastic processes
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• Stochastic Approximations via Large Deviations: Asymptotic Properties
• Rates of Convergence for Stochastic Approximation Type Algorithms
• Parameter estimation in continuous-time stochastic processes
• Maximum likelihood estimation for continuous-time stochastic processes
• Stochastic Approximation and Large Deviations: Upper Bounds and <scp>w.p.1</scp> Convergence
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