A note on estimation in controlled diffusion processes

Věra Lánská

Kybernetika (1986)

  • Volume: 22, Issue: 2, page 133-141
  • ISSN: 0023-5954

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Lánská, Věra. "A note on estimation in controlled diffusion processes." Kybernetika 22.2 (1986): 133-141. <http://eudml.org/doc/28175>.

@article{Lánská1986,
author = {Lánská, Věra},
journal = {Kybernetika},
keywords = {one-dimensional stochastic differential equation; local asymptotic normality; Bellman equation},
language = {eng},
number = {2},
pages = {133-141},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A note on estimation in controlled diffusion processes},
url = {http://eudml.org/doc/28175},
volume = {22},
year = {1986},
}

TY - JOUR
AU - Lánská, Věra
TI - A note on estimation in controlled diffusion processes
JO - Kybernetika
PY - 1986
PB - Institute of Information Theory and Automation AS CR
VL - 22
IS - 2
SP - 133
EP - 141
LA - eng
KW - one-dimensional stochastic differential equation; local asymptotic normality; Bellman equation
UR - http://eudml.org/doc/28175
ER -

References

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  1. V. Dufková, On controlled one-dimensional diffusion processes with unknown parameter, Adv. in Appl. Probab. 9 (1977), 105-124. (1977) MR0432303
  2. J. Hájek, Local asymptotic minimax and admissibility in estimation, In: Proc. Sixth Berkeley Symp. Vol. I., University of California Press 1972, 175-194. (1972) MR0400513
  3. Yu. A. Kutoyants, Estimation of Parameters of Random Processes, (in Russian). Publ. Acad. Sci. Armen. SSR, Erevan 1980. (1980) MR0626688
  4. P. Mandl, Analytical Treatment of One-dimensional Markov Processes, Academia, Prague - Springer-Verlag, Berlin 1968. (1968) Zbl0179.47802MR0247667
  5. P. Mandl, Local asymptotic normality in controlled Markov chains, Presented at 16th EMS Marburg, 1984. (1984) MR0829481
  6. R. Morton, On the optimal control of stationary diffusion processes with inaccesible boundaries and no discounting, J. Appl. Probab. 8 (1971), 551 - 560. (1971) MR0292572

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