On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes

DOI10.2307/1402735zbMath0509.62075OpenAlexW2313319246MaRDI QIDQ4747422

Michael Sørensen

Publication date: 1983

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1402735

zbMATH Keywords

surveyconsistencyasymptotic normalitystochastic differential equationsFisher informationgeometric Brownian motionreviewcurved exponential familyintrinsic timeRadon-Nikodym derivativesnew resultsaffine ancillarysequential maximum likelihood estimationcontinuously observed processesrandomly stopped diffusion-type processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

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Exponential families of stochastic processes and Lévy processes ⋮ On exponential families of Markov processes ⋮ Maximum likelihood estimator for the drift of a Brownian flow ⋮ Non-parametric estimation for partially observed transient diffusion processes ⋮ Sobre la estimacion del coeficiente de tendencia en procesos de difusion con paradas aleatorias ⋮ Inference for stochastic neuronal models ⋮ Estimation in Discretely Observed Diffusions Killed at a Threshold ⋮ Inference for stochastic neuronal models ⋮ Extended Black and Scholes model under bankruptcy risk ⋮ A note on statistical inference for a class of diffusions and approximate diffusions ⋮ Markov stopping sets and stochastic integrals. Application in sequential estimation for a random diffusion field

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