Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
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Publication:2121629
DOI10.1515/mcma-2022-2105zbMath1489.65006arXiv2105.11522OpenAlexW3165777227MaRDI QIDQ2121629
Publication date: 4 April 2022
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.11522
Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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