14 citations · 40 across the 26 of their papers we have counts for
4 papers · 1 filter
On Multi-step Estimation of Delay for SDE
Yury A. Kutoyants
We consider the problem of delay estimation by the observations of the solutions of several SDEs. It is known that the MLE for these models are consistent and asymptotically normal…
Approximation of BSDE with Hidden Forward Equation and Unknown Volatility
Oleg V. Chernoyarov, Yury A. Kutoyants
In the present paper the problem of approximating the solution of BSDE is considered in the case where the solution of forward equation is observed in the presence of small Gaussia…
Hidden Markov Model Where Higher Noise Makes Smaller Errors
Yury A. Kutoyants
We consider the problem of parameter estimation in a partially observed linear Gaussian system with small noises in the state and observation equations. We describe asymptotic prop…
Volatility Estimation of Hidden Markov Processes and Adaptive Filtration
Yury A. Kutoyants
The partially observed linear Gaussian system of stochastic differential equations with low noise in observations is considered. A kernel-type estimators are used for estimation of…