Robust parameter estimation for stochastic differential equations

DOI10.1007/s10440-004-5284-2zbMath1062.62156MaRDI QIDQ1774563

Thomas Gorm Theting, Thomas Deck

Publication date: 17 May 2005

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-004-5284-2

zbMATH Keywords

Feynman-Kac formula; numerics; Zakai equation; robust nonlinear filtering

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

Estimation for incomplete information stochastic systems from discrete observations, Asymptotic properties of Bayes estimators for Gaussian Itô\,-\,processes with noisy observations

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