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.
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Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 7, pp. 946–951, July, 1995.
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Maiboroda, R.E. Estimates of intense noise for inhomogeneous diffusion processes. Ukr Math J 47, 1085–1091 (1995). https://doi.org/10.1007/BF01084904
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DOI: https://doi.org/10.1007/BF01084904