Parameter Estimation for Controlled Semilinear Stochastic Systems: Identifiability and Consistency

We consider a controlled stochastic semilinear evolution equation with the drift depending on the unknown parameter. We show that the maximum likelihood estimator is strongly consistent for a class of bounded predictable controls.

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Year of publication:	2002
Authors:	Goldys, B. ; Maslowski, B.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 80.2002, 2, p. 322-343
Publisher:	Elsevier
Keywords:	semilinear stochastic evolution equation maximum likelihood estimator identifiability invariant measure strong law of large numbers transition semigroup infinitesimal generator

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

Persistent link: https://www.econbiz.de/10005221643