Recursive Estimation in Diffusion Model

DOI10.1137/0319043zbMath0474.93060OpenAlexW2024622465MaRDI QIDQ3931282

Nguyen Trung Hung, Gerald Jean Francis Banon

Publication date: 1981

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0319043

zbMATH Keywords

Wiener processdiffusion modelstrong consistencynonlinear identificationstationary Markov processone dimensional observation processasymptotic properties of the estimatorsasymptotically uncorrelated processrecursive estimates of Yamato type

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Diffusion processes (60J60)

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