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Diffusion process with evolution and its parameter estimation

A discrete Markov process in an asymptotic diffusion environment with a uniformly ergodic embedded Markov chain can be approximated by an Ornstein–Uhlenbeck process with evolution. The drift parameter estimation is obtained using the stationarity of the Gaussian limit process. Показано, що дискретни...

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Bibliographic Details
Published in:Кибернетика и системный анализ
Date:2020
Main Authors: Koroliuk, V.S., Koroliouk, D., Dovgyi S.О.
Format: Article
Language:English
Published: Інститут кібернетики ім. В.М. Глушкова НАН України 2020
Subjects:
Системний аналіз
Online Access:https://nasplib.isofts.kiev.ua/handle/123456789/190452
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Journal Title:Digital Library of Periodicals of National Academy of Sciences of Ukraine
Cite this:Diffusion process with evolution and its parameter estimation / V.S. Koroliuk, D. Koroliouk, S.О. Dovgyi // Кибернетика и системный анализ. — 2020. — Т. 56, № 5. — С. 55–62. — Бібліогр.: 8 назв. — англ.

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Digital Library of Periodicals of National Academy of Sciences of Ukraine

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