Le Cam-Stratonovich-Boole theory for Itô diffusions

DOI10.1515/rose-2023-2004OpenAlexW4322493632MaRDI QIDQ6112114

Jaya P. N. Bishwal

Publication date: 7 July 2023

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2023-2004

zbMATH Keywords

Monte Carlo methoddiffusion processlocal asymptotic normalityBernstein-von Mises theoremdiscrete observationsItô stochastic differential equationconditional least squares estimatorapproximate maximum likelihood estimatorsFisk-Stratonovich integralapproximate posterior distributionsweak convergence of random fieldsalmost slowly increasing experimental designapproximate Bayes estimatorsapproximate maximum probability estimatorsBoole approximationforward-backward martingale approximationHajek-Le Cam minimaxity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10)

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