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ON SEQUENTIAL PARAMETER ESTIMATION FOR SOME LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH TIME DELAY
Abstract Let X(·) be a scalar diffusion type process described by the stochastic differential equation with time delay Assume the vector ϑ = (ϑ0, ϑ1, …, ϑ m )′ is unknown. Based on continuous observation of X(·) for every ε > 0 a sequential plan (T ε, ϑε *) is …