Design for estimation of drift parameter in fractional diffusion system
Résumé
The paper studies long time asymptotic properties of the Maximum Likelihood Estimator (MLE) of the signal drift parameter in a partially observed controled fractional diffusion system. The optimal estimation input is deduced. The consistency, asymptotic normality and convergence of the moments of the MLE are established.
| Origine | Fichiers produits par l'(les) auteur(s) |
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