Parameter Estimation for Controlled Semilinear Stochastic Systems: Identifiability and Consistency

B. Goldys and B. Maslowski

Journal of Multivariate Analysis, 2002, vol. 80, issue 2, 322-343

Abstract: 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.

Keywords: semilinear; stochastic; evolution; equation; maximum; likelihood; estimator; identifiability; invariant; measure; strong; law; of; large; numbers; transition; semigroup; infinitesimal; generator (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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