Conditional Moment Generating Functions for Integrals and Stochastic Integrals
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Publication:4443055
DOI10.1137/S036301299833327XzbMath1069.93040MaRDI QIDQ4443055
Robert J. Elliott, Charalambos D. Charalambous, Vikram Krishnamurthy
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
identification; stochastic partial differential equations; filtering; maximum-likelihood estimates; finite-dimensional filters; expectation-maximization; recursions; moment generating functions; Wiener chaos expansions
93E11: Filtering in stochastic control theory
93E10: Estimation and detection in stochastic control theory
93E12: Identification in stochastic control theory
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