Khasminskii, R.; Milstein, G. N. On estimation of the linearized drift for nonlinear stochastic differential equations. (English) Zbl 1064.62092 Stoch. Dyn. 1, No. 1, 23-43 (2001). Summary: The estimation of the linearized drift for stochastic differential equations with equilibrium points is considered. It is proved that the linearized drift matrix can be estimated efficiently if the initial condition for the system is chosen close enough to the equilibrium point. Some bounds for initial conditions ensuring the asymptotical efficiency of the estimator are found. Cited in 9 Documents MSC: 62M05 Markov processes: estimation; hidden Markov models 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 93E15 Stochastic stability in control theory Keywords:Asymptotic efficiency; maximum likelihood estimator; local asymptotic normality; stochastic stability PDFBibTeX XMLCite \textit{R. Khasminskii} and \textit{G. N. Milstein}, Stoch. Dyn. 1, No. 1, 23--43 (2001; Zbl 1064.62092) Full Text: DOI References: [1] DOI: 10.1090/pspum/057/1335496 · doi:10.1090/pspum/057/1335496 [2] DOI: 10.1007/BFb0076837 · doi:10.1007/BFb0076837 [3] DOI: 10.1016/S0304-4149(97)00083-5 · Zbl 0933.62099 · doi:10.1016/S0304-4149(97)00083-5 [4] DOI: 10.1007/s004400050213 · Zbl 0980.62090 · doi:10.1007/s004400050213 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.