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Stochastic continuous-time model reference adaptive systems with decreasing gain

Published online by Cambridge University Press:  01 July 2016

Knut Kristian Aase
Knut Kristian Aase*
Affiliation:
Telemark Distriktshøgskole
*
∗Present address: Norwegian School of Economics and Business Adminstration, 5000 Bergen, Norway.
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Abstract

Recursive estimation is considered for parameters of certain continuous stochastic models. Several optimality properties are shown to hold for the resulting recursive estimator, where a stochastic approximation viewpoint is taken when deriving statistical properties, like strong consistency and convergence in distribution. Applications are considered throughout, where for example explosion theory for diffusion processes is used as a modeling guide, in a particular application.

Keywords

STOCHASTIC DIFFERENTIAL EQUATIONSITO PROCESSESRECURSIVE ESTIMATIONEXPLOSION FOR DIFFUSIONSORNSTEIN–UHLENBECK PROCESSLOGISTIC MODELS

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 14 , Issue 4 , December 1982 , pp. 763 - 788
Copyright
Copyright © Applied Probability Trust 1982 

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Footnotes

Research partly carried out while the author was visiting the University of California, Berkeley.

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