ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493701000035zbMath1064.62092MaRDI QIDQ4460412

Grigori N. Milstein, Rafail Z. Khasminskii

Publication date: 18 May 2004

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

local asymptotic normalitystochastic stabilitymaximum likelihood estimatorAsymptotic efficiency

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Related Items (9)

New results on exponential stability in mean square of neutral stochastic equations with delays ⋮ Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process ⋮ Explicit criteria for mean square exponential stability of stochastic differential equations ⋮ On exponential stability in mean square of neutral stochastic functional differential equations ⋮ Finite-time adaptive control for a class of switched stochastic uncertain nonlinear systems ⋮ Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process ⋮ Lyapunov criteria for the Feller-Dynkin property of martingale problems ⋮ New criteria for mean square exponential stability of stochastic delay differential equations ⋮ On stability of solutions of stochastic delay differential equations

Cites Work

• On the estimation of parameters for linear stochastic differential equations
• Estimation of parameters of linear homogeneous stochastic differential equations

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