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H. T. Nguyen and T. D. Pham, “Identification of Nonstationary Diffusion Model by the Method of Sieves,” SIAM Journal of Control and Optimization, Vol. 20, No. 5, 1982, pp. 603-611. doi:10.1137/0320045

has been cited by the following article:

• TITLE: Estimation in Interacting Diffusions: Continuous and Discrete Sampling

  AUTHORS: Jaya Prakash Narayan Bishwal

  KEYWORDS: Stochastic Differential Equations, Mean-Field Model, Large Interacting Systems, Diffusion Process, Discrete Observations, Approximate Maximum Likelihood Estimation, Sieve Estimation

  JOURNAL NAME: Applied Mathematics, Vol.2 No.9, September 19, 2011

  ABSTRACT: Consistency and asymptotic normality of the sieve estimator and an approximate maximum likelihood estimator of the drift coefficient of an interacting particles of diffusions are studied. For the sieve estimator, observations are taken on a fixed time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the dimension of the sieve. For the approximate maximum likelihood estimator, discrete observations are taken in a time interval [0,T] and asymptotics are studied as the number of interacting particles increases with the number of observation time points.