Sequential estimation of the parameters of diffusion processes |
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Authors: | A A Novikov |
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Institution: | (1) V. A. Steklov Mathematical Institute, Academy of Sciences of the USSR, USSR |
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Abstract: | For the parameter of a diffusion process(t), satisfying the stochastic differential equation d(t)=f (t,)dt+dw(l), we propose an effective sequential estimation plan with an unbiased and normally distributed estimate. The proposed sequential plan is discussed in detail for the example of a process (t) having a linear stochastic differential.Translated from Matematicheskie Zametki, Vol. 12, No. 5, pp. 627–638, November, 1972.In conclusion the author wishes to express his deep gratitude to A. N. Shiryaev for formulating the problem and for useful observations |
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