Estimation of the parameters in stochastic differential equations

DOI10.1515/RNAM.1997.12.1.1zbMath0883.60058OpenAlexW2034808378MaRDI QIDQ4338018

M. A. Yakunin, S. S. Artem'ev

Publication date: 16 March 1998

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam.1997.12.1.1

zbMATH Keywords

stochastic differential equationsmaximum-likelihood methodidentification of stochastic systems

Mathematics Subject Classification ID

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

Related Items (1)

Estimation of parameters in a system of stochastic differential equations from discrete observations

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