Levan Labadze

most citedEstimation of the parameters of the Ornstein-Uhlenbeck's stochastic process

2 citations · 3 across the 3 of their papers we have counts for

collaborators

3 papers

math.ST2016

On a consistent estimator of a useful signal in Ornstein-Uhlenbeck model in $C [- l, l [$

Levan Labadze, Zurab Kvatadze, Gogi Pantsulaia

~It is considered a transmittion process of a useful signal in Ornstein-Uhlenbeck model in $C [- l, l [$ defined by the stochastic differential equation $$ dΨ(t,x,ω)=\sum_{n=0…

math.ST2016★ 1 cited

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 $d X_{t} = μ d t + σ d W_{t}$ with initial value problem $X_{0} = x_{0}$ , where $x_{0} \in R$ , $μ \in R$ and $σ > 0$ are parameters. By use values $(z_k)_…

math.ST2016★ 2 cited

Estimation of the parameters of the Ornstein-Uhlenbeck's stochastic process

Levan Labadze, Gogi Pantsulaia

It is considered Ornstein-Uhlenbeck process $x_{t} = x_{0} e^{- θ t} + μ (1 - e^{- θ t}) + σ \int_{0}^{t} e^{- θ (t - s)} d W_{s}$ , where $x_{0} \in R$ , $θ > 0$ , $μ \in R$ and $σ > 0$ are parameters. By use…

On a consistent estimator of a useful signal in Ornstein-Uhlenbeck model in C[−l,l[

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

Estimation of the parameters of the Ornstein-Uhlenbeck's stochastic process

On a consistent estimator of a useful signal in Ornstein-Uhlenbeck model in $C [- l, l [$