Robustness in Stochastic Filtering and Maximum Likelihood Estimation for SDEs

DOI10.1007/978-3-319-08159-5_8zbMATH Open1320.93081OpenAlexW143859633MaRDI QIDQ5256558FDOQ5256558

Authors: Joscha Diehl, Peter Friz, Hilmar Mai, Sebastian Riedel, Wilhelm Stannat, 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

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Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

Cited In (4)

• Robust parameter estimation for stochastic differential equations
• Title not available (Why is that?)
• Pathwise stability of likelihood estimators for diffusions via rough paths
• Pathwise stochastic control with applications to robust filtering

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