Koroliuk V. S. , Koroliouk D., Dovgyi S. О.
Diffusion process with evolution and its parameter estimation

A discrete Markov process in an asymptotic diffusion environment with a uniformly ergodic embedded Markov chain can be approximated by an Ornstein–Uhlenbeck process with evolution. The drift parameter estimation is obtained using the stationarity of the Gaussian limit process. © 2020, Springer Science+Business Media, LLC, part of Springer Nature.

Keywords: asymptotic diffusion environment, diffusion approximation, discrete Markov process, drift parameter estimation, Ornstein–Uhlenbeck process, phase merging, Markov chains, Diffusion process, Embedded Markov chain, Ergodics, Gaussian limit, Stationarity, Parameter estimation

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Cite:
Koroliuk, Koroliouk, Dovgyi. (2020). Diffusion process with evolution and its parameter estimation. Cybernetics and Systems Analysis, 56 (5), 55–62. doi: https://doi.org/10.1007/s10559-020-00293-y http://jnas.nbuv.gov.ua/article/UJRN-0001152220