This article is cited in 4 papers

Asymptotic expansions for estimates of a signal parameter in Gaussian white noise

M. V. Burnashev


Abstract: We consider asymptotic expansions of estimates of an unknown parameter $\theta$ based on observation of a diffusion process $X_t$:
$$ dX_t = S_t(\theta)\,dt + dW_t,\qquad t\in[0,T],\quad\theta\in\Theta. $$

Bibliography: 11 titles.

UDC: 519.2

MSC: Primary 60G35; Secondary 62F10, 62M99, 93E10

Received: 20.10.1976

 English version: Mathematics of the USSR-Sbornik, 1977, 33:2, 159–184

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