Conditional Moment Generating Functions for Integrals and Stochastic Integrals

DOI10.1137/S036301299833327XMaRDI QIDQ4443055zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Vikram Krishnamurthy, Charalambos D. Charalambous

Publication date 8 January 2004

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s036301299833327x

zbMATH Keywords

expectation-maximizationfilteringfinite-dimensional filtersidentificationmaximum-likelihood estimatesmoment generating functionsrecursionsstochastic partial differential equationsWiener chaos expansions

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

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