Consistent parameter estimation for partially observed diffusions with small noise

DOI10.1007/BF01189903zbMath0822.62068OpenAlexW1992715799MaRDI QIDQ1895793

Matthew R. James, François Le Gland

Publication date: 13 August 1995

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01189903

zbMATH Keywords

nonlinear filteringconsistency resultpartially observed diffusion processesbinary detection problemidentifiability propertyPDE vanishing viscosity methodssmall noise intensities

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10) Large deviations (60F10)

Related Items (5)

Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering ⋮ MLE for partially observed diffusions: Direct maximization vs. the EM algorithm ⋮ Robust parameter estimation for stochastic differential equations ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ Filtering the Maximum Likelihood for Multiscale Problems

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• Nonlinear filtering and large deviations:a pde-control theoretic approach
• On a multiplicative functional transformation arising in nonlinear filtering theory
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes

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