A note on estimation in controlled diffusion processes
Kybernetika (1986)
- Volume: 22, Issue: 2, page 133-141
- ISSN: 0023-5954
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topLánská, 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
top- V. Dufková, On controlled one-dimensional diffusion processes with unknown parameter, Adv. in Appl. Probab. 9 (1977), 105-124. (1977) MR0432303
- 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
- Yu. A. Kutoyants, Estimation of Parameters of Random Processes, (in Russian). Publ. Acad. Sci. Armen. SSR, Erevan 1980. (1980) MR0626688
- P. Mandl, Analytical Treatment of One-dimensional Markov Processes, Academia, Prague - Springer-Verlag, Berlin 1968. (1968) Zbl0179.47802MR0247667
- P. Mandl, Local asymptotic normality in controlled Markov chains, Presented at 16th EMS Marburg, 1984. (1984) MR0829481
- 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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