Bayes and Sequential Estimation in Stochastic PDEs

In Chapters 2-4 we were concerned with the study of asymptotic properties of several estimators of real valued drift parameter in linear and nonlinear Itô stochastic differential equations (SDEs) whose solutions are real valued diffusions. In many cases the results can be generalized to multidimensional stochastic differential equations. Parameter estimation in finite dimensional stochastic differential equations (SDEs) has been paid a lot of attention during the last three decades. See e.g., Liptser and Shiryayev (1978), Basawa and Prakasa Rao (1980), Kutoyants (1984a, 1994a) and Prakasa Rao (1999).