Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs

DOI10.1007/978-3-319-08159-5_8zbMath1320.93081MaRDI QIDQ5256558

Hilmar Mai, Joscha Diehl, Wilhelm Stannat, Peter K. Friz, Sebastian Riedel, Harald Oberhauser

Publication date: 18 June 2015

Published in: Extraction of Quantifiable Information from Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-08159-5_8

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E10: Estimation and detection in stochastic control theory