Stochastic continuous-time model reference adaptive systems with decreasing gain

Abstract

Recursive estimation is considered for parameters of certain continuous stochastic models. Several optimality properties are shown to hold for the resulting recursive estimator, where a stochastic approximation viewpoint is taken when deriving statistical properties, like strong consistency and convergence in distribution. Applications are considered throughout, where for example explosion theory for diffusion processes is used as a modeling guide, in a particular application.