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Recursive parameter estimation in the trend coefficient of a diffusion process

Recursive parameter estimation in the trend coefficient of a diffusion process The recursive estimation problem of a one-dimensional parameter in the trend coefficient of a diffusion process is considered. The asymptotic properties of recursive estimators are derived, based on the results on the asymptotic behaviour of a Robbins–Monro type SDE. Various special cases are considered. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Georgian Mathematical Journal de Gruyter

Recursive parameter estimation in the trend coefficient of a diffusion process

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Publisher
de Gruyter
Copyright
© de Gruyter 2010
ISSN
1072-947X
eISSN
1072-9176
DOI
10.1515/GMJ.2010.037
Publisher site
See Article on Publisher Site

Abstract

The recursive estimation problem of a one-dimensional parameter in the trend coefficient of a diffusion process is considered. The asymptotic properties of recursive estimators are derived, based on the results on the asymptotic behaviour of a Robbins–Monro type SDE. Various special cases are considered.

Journal

Georgian Mathematical Journalde Gruyter

Published: Dec 1, 2010

Keywords: Diffusion; recursive parameter estimation; stochastic approximation; Robbins–Monro type SDE

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