Geodesic
On estimating the drift of a~diffusion process from observations in a~domain
Teoriâ veroâtnostej i ee primeneniâ, Tome 22 (1977) no. 4, pp. 871-878

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Let $x_t$ be a diffusion process in a domain $G$ of a Euclidian space with small diffusion proportional to $\varepsilon$ and drift depending on an unknown parameter $\theta$. In this paper, a lower bound for $\mathbf M_{\theta,x}\|\theta-\theta_1\|^2$ is obtained (see (0.6)), where $\theta_1$ is an arbitrary estimate, of $\theta$, and locally asymptotically minimax estimates are found. 
@article{TVP_1977_22_4_a20,
     author = {I. I. Citovi\v{c}},
     title = {On estimating the drift of a~diffusion process from observations in a~domain},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {871--878},
     publisher = {mathdoc},
     volume = {22},
     number = {4},
     year = {1977},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1977_22_4_a20/}
}
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I. I. Citovič. On estimating the drift of a~diffusion process from observations in a~domain. Teoriâ veroâtnostej i ee primeneniâ, Tome 22 (1977) no. 4, pp. 871-878. http://geodesic.mathdoc.fr/item/TVP_1977_22_4_a20/