Recursive parameter estimation in diffusion processes is considered. First, stability and asymptotic properties of the global, off-line MLE (maximum likelihood estimator) are obtained under explicit conditions. The MLE evolution equation is then derived by employing a generalized Itô...

Results on the convergence with probability one of stochastic approximation algorithms of the form [theta]n+1 = [theta]n - [gamma]n+1 h([theta]n) + un+1 are given, where the [theta]'s belong to some Banach space and {un} is a stochastic process. Using this extension of results of Kushner and...