Stochastic equations in the problems of semimartingale parameter estimation

DOI10.1023/B:JOTH.0000028706.94242.A6zbMath1069.60052OpenAlexW2072549099MaRDI QIDQ1780285

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

semimartingalesnonlinear filteringMarkov chainconvergence of solutionsinnovation processstrong consistencyCarathéodory-type stochastic differential equationcontinuous 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

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

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