On minimum-contrast estimation for hilbert space-valued stochastic differential equations

DOI10.1080/17442508608833374zbMath0587.60049OpenAlexW2032444351MaRDI QIDQ3713267

Timo Koski, Wilfried Loges

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833374

zbMATH Keywords

identificationmild solutionsstochastic evolutionsasymptotically consistentminimum contrast estimate

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10) Control/observation systems in abstract spaces (93C25) Stochastic integral equations (60H20)

Related Items (6)

Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process ⋮ Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind ⋮ Consistency property of extended least-squares parameter estimation for stochastic diffusion equation ⋮ Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation ⋮ Parameter estimation for controlled semilinear stochastic systems: Identifiability and consistency ⋮ The Bernstein-von Mises theorem and spectral asymptotics of Bayes estimators for parabolic SPDEs

Cites Work

• Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equations
• Asymptotic statistical inference for a stochastic heat flow problem
• Absolute continuity of measures corresponding to diffusion processes in Banach space
• On the measurability and consistency of minimum contrast estimates
• Note on minimum contrast estimates for Markov processes
• Minimum contrast estimation in diffusion processes

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