On the Sequential Estimation of the Drift Coefficient of a Diffusion Process with Quadratic and Non-Quadratic Losses

DOI10.1137/1126068zbMath0488.60071OpenAlexW1963864369MaRDI QIDQ3949762

M. S. Tikhov

Publication date: 1982

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1126068

zbMATH Keywords

sequential estimationtrend parameter

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sequential estimation (62L12)

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