An existence theorem and some properties of maximum a posteriori estimators of trajectories of diffusions

DOI10.1080/17442508808833490zbMath0657.62099MaRDI QIDQ3805692

Amir Dembo, Ofer Zeitouni

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833490

zbMATH Keywords

nonlinear filtering; nondegenerate diffusions; maximum a-posteriori estimator; existence theorem for the MAP trajectories estimator; noisy non-linear sensor; pointwise MAP estimator; trajectories of diffusions

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

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Weak approximations. A Malliavin calculus approach, A maximum a posteriori estimator for trajectories of diffusion processes, A maximum a posteriori estimator for trajectories of diffusion processes, Large deviations in testing squared radial Ornstein-Uhlenbeck model, Maximum a posteriori estimation of elliptic Gaussian fields observed via a noisy nonlinear channel, Onsager-Machlup functionals and maximum a posteriori estimation for a class of non-Gaussian random fields, Large deviations in testing Jacobi model, A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems

Cites Work

• On the optimal filtering of diffusion processes
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