UDC 519.24
1 Institute of Mathematics of the National Academy of Sciences of Ukraine, Kyiv, Ukraine
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2 Institute of Telecommunications and Global Information Space of the National Academy of Sciences of Ukraine, Kyiv, Ukraine
dimitri.koroliouk@ukr.net
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3 Institute of Telecommunications and Global Information Space of the National Academy of Sciences of Ukraine, Kyiv, Ukraine
pryjmalnya@gmail.com
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DIFFUSION PROCESS WITH EVOLUTION
AND ITS PARAMETER ESTIMATION
Abstract. 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.
Keywords: discrete Markov process, diffusion approximation, asymptotic diffusion environment, Ornstein–Uhlenbeck process, phase merging, drift parameter estimation.
FULL TEXT
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