Estimation for nonlinear stochastic differential equations by a local linearization method1

DOI10.1080/07362999808809559zbMath0912.60078OpenAlexW2026374957MaRDI QIDQ4208316

Tohru Ozaki, Isao Shoji

Publication date: 18 May 1999

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999808809559

zbMATH Keywords

stochastic differential equationestimationlocal linearization method

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Stochastic integral equations (60H20)

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Cites Work

• Continuous Time Series Models for Unequally Spaced Data Applied to Modeling Atomic Clocks
• On the parameters estimation of continuous-time ARMA processes from noisy observations
• Numerical Treatment of Stochastic Differential Equations
• A local linearization approach to nonlinear filtering
• Statistical Identification of Nonlinear Random Vibration Systems
• CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS

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