Consistent parameter estimation for partially observed diffusions with small noise

Applied Mathematics & Optimization ◽

10.1007/bf01189903 ◽

1995 ◽

Vol 32 (1) ◽

pp. 47-72 ◽

Author(s):

M. R. James ◽

F. Le Gland

Keyword(s):

Parameter Estimation ◽

Small Noise ◽

Partially Observed ◽

Consistent Parameter ◽

Partially Observed Diffusions

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Asymptotic Normality in Partially Observed Diffusions with Small Noise: Application to FDI

Stochastic Theory and Control - Lecture Notes in Control and Information Sciences ◽

10.1007/3-540-48022-6_19 ◽

2007 ◽

pp. 267-282

Author(s):

François LeGland ◽

Bo Wang

Keyword(s):

Asymptotic Normality ◽

Small Noise ◽

Partially Observed ◽

Partially Observed Diffusions

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Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo

SIAM Journal on Scientific Computing ◽

10.1137/17m1112595 ◽

2018 ◽

Vol 40 (2) ◽

pp. A887-A902 ◽

Author(s):

Ajay Jasra ◽

Kengo Kamatani ◽

Kody Law ◽

Yan Zhou

Keyword(s):

Monte Carlo ◽

Parameter Estimation ◽

Multilevel Monte Carlo ◽

Static Parameter ◽

Partially Observed ◽

Partially Observed Diffusions

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Online Parameter Estimation for Partially Observed Diffusions

2006 IEEE Nonlinear Statistical Signal Processing Workshop ◽

10.1109/nsspw.2006.4378853 ◽

2006 ◽

Author(s):

George Poyiadjis ◽

Sumeetpal S. Singh ◽

Arnaud Doucet

Keyword(s):

Parameter Estimation ◽

Partially Observed ◽

Partially Observed Diffusions

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On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions

Stochastics and Stochastics Reports ◽

10.1080/17442509108833725 ◽

1991 ◽

Vol 37 (1-2) ◽

pp. 15-47 ◽

Author(s):

W. J. Runggaldier ◽

Ł Stettner

Keyword(s):

General Problem ◽

Optimal Strategies ◽

Partially Observed ◽

Partially Observed Diffusions

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Consistent parameter estimation of system transfer functions irrespective of noise dynamics

Proceedings of the 36th IEEE Conference on Decision and Control ◽

10.1109/cdc.1997.650727 ◽

2002 ◽

Author(s):

Wei Xing Zheng

Keyword(s):

Parameter Estimation ◽

Transfer Functions ◽

Consistent Parameter

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Particle filters for partially observed diffusions

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/j.1467-9868.2008.00661.x ◽

2008 ◽

Vol 70 (4) ◽

pp. 755-777 ◽

Author(s):

Paul Fearnhead ◽

Omiros Papaspiliopoulos ◽

Gareth O. Roberts

Keyword(s):

Particle Filters ◽

Partially Observed ◽

Partially Observed Diffusions

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Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise

Stochastics ◽

10.1080/17442508.2016.1248967 ◽

2016 ◽

Vol 89 (2) ◽

pp. 431-468 ◽

Author(s):

Brahim El Onsy ◽

Khalifa Es-Sebaiy ◽

Frederi G. Viens

Keyword(s):

Parameter Estimation ◽

Long Memory ◽

Uhlenbeck Process ◽

Partially Observed ◽

Ornstein Uhlenbeck Process

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Correction to “existence of optimal controls for partially observed diffusions”

Stochastics ◽

10.1080/17442508408833332 ◽

1984 ◽

Vol 14 (1) ◽

pp. 81-82 ◽

Author(s):

Vivek S. Borkar

Keyword(s):

Optimal Controls ◽

Existence Of Optimal Controls ◽

Partially Observed ◽

Partially Observed Diffusions

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A particle implementation of the recursive MLE for partially observed diffusions

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)34934-0 ◽

2003 ◽

Vol 36 (16) ◽

pp. 1269-1274

Author(s):

Arnaud Guyader ◽

François Le Gland ◽

Nadia Oudjane

Keyword(s):

Partially Observed ◽

Partially Observed Diffusions

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Existence of optimal controls for partially observed diffusions

Stochastics ◽

10.1080/17442508308833281 ◽

1983 ◽

Vol 11 (1-2) ◽

pp. 103-141 ◽

Author(s):

Vivek S. Borkar

Keyword(s):

Optimal Controls ◽

Existence Of Optimal Controls ◽

Partially Observed ◽

Partially Observed Diffusions

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