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Estimation of parameters of one stochastic differential equation. (English. Russian original) Zbl 0834.60062
J. Math. Sci., New York 75, No. 1, 1453-1460 (1995); translation from Lumel’skij, Ya. P. (ed.), Statistical methods of estimation and hypothesis testing. Interuniv. Coll. Sci. Works. Perm’: Permskij Gosudarstvennyj Univ., 107-119 (1990).
See the review in Zbl 0793.60061.
MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
62M05 Markov processes: estimation; hidden Markov models
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References:
[1] I. D. Cherkasov, ”On Bachellet type stochastic processes”,Rev. Roum. Math. Pures Appl.,9, No. 9 (1964).
[2] G. Tintner and R. C. Patel, ”Multivariate lognormal diffusion process of economic development”,Oper. Res. Verfahren, Bd.14, Meisenheim (1972). · Zbl 0255.90006
[3] A. V. Gaiduk and I. D. Cherkasov, ”Diffusion modelling of economical and technological systems”, in:Methods of Synthesis and Planning of Evolution of Structures of Complex Systems [in Russian], Saratov Univ. Press, Saratov (1980).
[4] I. D. Cherkasov, ”Transformation of diffusion equations by the method due to A. N. Kolmogorov”,Sov. Math. Dokl. [in Russian],250, No. 3 (1980). · Zbl 0458.60075
[5] A. Ya. Dorogovtsev,Theory of Estimation of Parameters of Stochastic Processes [in Russian], Vishcha Shkola, Kiev (1982).
[6] I. D. Cherkasov, ”Statistical estimation of coefficients of one diffusion dynamic system”,J. Sov. Math.,53, No. 6 (1991).
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