State and Parameter Estimation from Observed Signal Increments

DOI10.3390/E21050505arXiv1903.10717WikidataQ103833373 ScholiaQ103833373MaRDI QIDQ6316178

Paul. J. Rozdeba, Nikolas Nüsken, Sebastian Reich

Publication date: 26 March 2019

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical smoothing, curve fitting (65D10) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Stochastic particle methods (65C35)

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