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Infinite-sample consistent estimations of parameters of the Wiener process with drift

Abstract

We consider the Wiener process with drift dXt=μdt+σdWt dX_t=\mu dt +\sigma d W_t with initial value problem X0=x0X_0=x_0, where x0Rx_0 \in R, $ \mu \in R$ and σ>0\sigma > 0 are parameters. By use values (zk)kN(z_k)_{k \in N} of corresponding trajectories at a fixed positive moment tt, the infinite-sample consistent estimates of each unknown parameter of the Wiener process with drift are constructed under assumption that all another parameters are known.

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