Abstract
Nonparametric estimates of noise intensityg(t) are obtained. These estimates are constructed for datax(t) defined by the equationdx(t)=f(x(t),t)dt+g(t)dw(t). The validity of the estimates is proved.
This is a preview of subscription content, log in via an institution to check access.
We’re sorry, something doesn't seem to be working properly.
Please try refreshing the page. If that doesn't work, please contact support so we can address the problem.
References
P. Kligene and L. Telksnis, “Methods for detection of time when the properties of random processes change,”Avtomat. Telemekh., No. 10, 5–56 (1983).
L. B. Vovk and R. E. Maiboroda, “Estimation of the discord time for a process of Ornstein-Uhlenbeck type,”Ukr. Mat. Zh.,45, No. 9, 1198–1205 (1993).
I. I. Gikhman and A. V. Skorokhod,Theory of Random Processes [in Russian], Vol. 1, Nauka, Moscow (1971).
E. P. Besklinskaya and Yu. V. Kozachenko, “Convergence in the norms of the Orlicz space and the Levy-Baxter theorems,”Teor. Ver. Mat. Stat.,35, 3–6 (1986).
Author information
Authors and Affiliations
Additional information
Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 7, pp. 946–951, July, 1995.
Rights and permissions
About this article
Cite this article
Maiboroda, R.E. Estimates of intense noise for inhomogeneous diffusion processes. Ukr Math J 47, 1085–1091 (1995). https://doi.org/10.1007/BF01084904
Received:
Issue Date:
DOI: https://doi.org/10.1007/BF01084904