52 research outputs found
The averaging method for stochastic differential delay equations under non-Lipschitz conditions
Maximum Likelihood Estimator for Hidden Markov Models in continuous time
The paper studies large sample asymptotic properties of the Maximum
Likelihood Estimator (MLE) for the parameter of a continuous time Markov chain,
observed in white noise. Using the method of weak convergence of likelihoods
due to I.Ibragimov and R.Khasminskii, consistency, asymptotic normality and
convergence of moments are established for MLE under certain strong ergodicity
conditions of the chain.Comment: Warning: due to a flaw in the publishing process, some of the
references in the published version of the article are confuse
First-passage failure of single-degree-of-freedom nonlinear oscillators with fractional derivative
On Dynamical Systems Perturbed by a Null-Recurrent Fast Motion: The Continuous Coefficient Case with Independent Driving Noises
Time-Scale Separation and State Aggregation in Singularly Perturbed Switching Diffusions
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