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Nonparametric identification for diffusion processes. (English) Zbl 0404.93045

SIAM J. Control Optimization 16, 380-395 (1978); Errata ibid. 16, 860 (1978).

MSC:

93E12 Identification in stochastic control theory
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
62M05 Markov processes: estimation; hidden Markov models
60J65 Brownian motion
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