Abstract
The sample path rate of convergence is obtained for a strongly consistent, recursive estimator of a parameter in a bilinear stochastic differential equation. The bilinear stochastic differential equation arises in a model of portfolio selection and consumption. The parameters of this equation change with time and converge to limits. It is assumed that one of these parameters is unknown. In this case it is necessary simultaneously to estimate the unknown parameter and to control the state equation so there is the problem of adaptive control. Asymptotic normality for a parameter estimator is also given.
This work was supported by NSF Grant ECS-8718026.
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Pasik-Duncan, B. (1989). The rate of convergence and the asymptotic normality of an estimator in a controlled investment model with time-varying parameters. In: Christopeit, N., Helmes, K., Kohlmann, M. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 126. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0043791
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DOI: https://doi.org/10.1007/BFb0043791
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