THE GUARANTEED ESTIMATION OF THE UNKNOWN LINEAR INPUT PARAMETER IN THE DRIFT OF THE ITO`S STOCHASTIC DIFFERENTIAL EQUATION WITH THE PERIODIC COEFFICIENTS
In the work in the case of periodic coefficients the confidence interval for the unknown parameter estimate in the drift coefficient of the stochastic differential equation is constructed. The technique of martingal exponential inequalities and closeness of probabilistic measures are used. As an estimate of the unknown parameter, the maximum likelihood estimate is considered. The interval of the unknown parameter covering with the guaranteed probability of the covering is constructed.