ESTIMATION OF THE COEFFICIENT OF A DIFFUSION PROCESS IN THE MULTIDIMENSIONAL CASE

被引：0

作者：

BRUGIERE, P

机构：

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 1991年 / 312卷 / 13期

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D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Let dX(t) = b(X(t)) dt + sigma (X(t)) dB(t) where b and sigma are two unknown functions. We study in this article the convergence in probability of a non parametric estimator of sigma-t sigma, t-sigma denotes the transpose of the matrix-sigma.

引用

页码：999 / 1004

页数：6

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