In order to develop a general criterion for proving strong consistency of estimators in Statistics of stochastic processes, we study an extension, to the continuous-time case, of the strong law of large numbers for discrete time square integrable martingales (e.g. Neveu, 1965, 1972). Applications to estimation in diffusion models are given.
@article{urn:eudml:doc:38855,
title = {On the law of large numbers for continuous-time martingales and applications to statistics.},
journal = {Stochastica},
volume = {6},
year = {1982},
pages = {5-23},
zbl = {0519.62068},
mrnumber = {MR0694201},
language = {en},
url = {http://dml.mathdoc.fr/item/urn:eudml:doc:38855}
}
Nguyen, Hung T.; Pham, Tuan D. On the law of large numbers for continuous-time martingales and applications to statistics.. Stochastica, Tome 6 (1982) pp. 5-23. http://gdmltest.u-ga.fr/item/urn:eudml:doc:38855/