Online drift estimation for jump-diffusion processes
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Publication:1983620
DOI10.3150/20-BEJ1319zbMath1475.60160OpenAlexW3194113352MaRDI QIDQ1983620
Theerawat Bhudisaksang, Álvaro Cartea
Publication date: 10 September 2021
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/20-bej1319
Asymptotic properties of parametric estimators (62F12) Jump processes on general state spaces (60J76)
Related Items (6)
Data-driven nonparametric robust control under dependence uncertainty ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ Online drift estimation for jump-diffusion processes ⋮ Adaptive Robust Control in Continuous Time
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