A utility based approach to information for stochastic differential equations

DOI10.1016/0304-4149(93)90053-7zbMath0795.62002OpenAlexW2032177856MaRDI QIDQ1312299

Gareth O. Roberts, Nicholas G. Polson

Publication date: 9 February 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90053-7

zbMATH Keywords

entropyBrownian motionFisher informationBrownian motion with driftBessel processeslikelihood functionOrnstein-Uhlenbeck processesShannon information

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Information processes for semimartingale experiments

Cites Work

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• Stochastic differential equations. An introduction with applications
• Changes in utility as information
• Asymptotic methods in statistical decision theory
• Expected information as ecpected utility
• On a Measure of the Information Provided by an Experiment
• Application of a Measure of Information to the Design and Comparison of Regression Experiments
• A note on Bayes designs for inference using a hierarchical linear model
• Maximum likelihood estimation for continuous-time stochastic processes

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