Girsanov's theorem in Hilbert space and an application to the statistics of Hilbert space- valued stochastic differential equations

We prove Girsanov-type theorems for Hilbert space-valued stochastic differential equations and apply them to a parameter estimation problem for linear infinite dimensional stochastic differential equations. In particular we construct the asymptotic statistical theory of the estimator, proving strong consistency and asymptotic normality.

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Year of publication:	1984
Authors:	Loges, Wilfried
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 17.1984, 2, p. 243-263
Publisher:	Elsevier
Keywords:	infinite dimensional stochastic d.e.'s Girsanov's theorem parameter estimation asymptotic properties

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872798