Recursive parameter estimation in the trend coefficient of a diffusion process

DOI10.1515/GMJ.2010.037zbMath1203.62140OpenAlexW3134087445MaRDI QIDQ3068155

Teimuraz Toronjadze, Nanuli Lazrieva

Publication date: 13 January 2011

Published in: gmj (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/gmj.2010.037

zbMATH Keywords

diffusionstochastic approximationrecursive parameter estimationRobbins-Monro type SDE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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