Parameter estimation for controlled semilinear stochastic systems: Identifiability and consistency

JOURNAL OF MULTIVARIATE ANALYSIS

卷:80

Article

Goldys, B ; Maslowski, B

关键词: semilinear stochastic evolution equation;    maximum likelihood estimator;    identifiability;    invariant measure;    strong law of large numbers;    transition semigroup;    infinitesimal generator;   

DOI  :  10.1006/jmva.2001.1989

来源: Elsevier

【 摘 要 】

We consider a controlled stochastic semilinear evolution equation with the drift depending on the unknown parameter, We show that the maximum likelihood estimator is strongly consistent for a class of bounded predictable controls. (C) 2001 Elsevier Science.

【 授权许可】

Free