Markov stopping sets and stochastic integrals. Application in sequential estimation for a random diffusion field

DOI10.1016/0304-4149(89)90078-1zbMath0684.62058OpenAlexW2052148665MaRDI QIDQ1825571

Roman Różański

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90078-1

zbMATH Keywords

stochastic integrationdrift coefficientsequential plansdiffusion random fieldMarkov stopping setWiener random fields

Mathematics Subject Classification ID

Random fields (60G60) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Stochastic integrals (60H05) Sequential estimation (62L12)

Related Items (3)

Random stopping sets in a sequential analysis of random measures and fields ⋮ On Estimation of the Mean and Covariance Parameter for Gaussian Random Fields ⋮ Estimation in Discretely Observed Diffusions Killed at a Threshold

Cites Work

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• “Markov Times” for Random Fields
• On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes
• On Minimax Statistical Decision Procedures and their Admissibility

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