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Estimation of parameters of one stochastic differential equation

  • Probabilistic-Statistical Models
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Abstract

A problem of estimation of the unknown parameters of the solution of an Itô stochastic differential equation is considered from a process observed at a finite number of points.

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References

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Authors and Affiliations

  1. Groznyi

    I. D. Cherkasov

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  1. I. D. Cherkasov
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Translated fromStatisticheskie Metody Otsenivaniya i Proverki Gipotez, pp. 107–119, Perm, 1990.

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Cherkasov, I.D. Estimation of parameters of one stochastic differential equation. J Math Sci 75, 1453–1460 (1995). https://doi.org/10.1007/BF02362559

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  • DOI: https://doi.org/10.1007/BF02362559

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