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

Levan Labadze, Gimzer Saatashvili, Gogi Pantsulaia

We consider the Wiener process with drift $$d{X}_t=\mu dt+\sigma d{W}_t$$ with initial value problem $X_0=x_0$, where $x_0\in R$, $\mu \in R$ and $\sigma >0$ are parameters. By use values $(z_k)_…