Asymptotic Bayesian estimation of a first order equation with small diffusion
DOI10.1214/AOP/1176993238zbMATH Open0543.60034OpenAlexW2080805347MaRDI QIDQ796167FDOQ796167
Authors: Omar Hijab 
Publication date: 1984
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176993238
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Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65) Estimation and detection in stochastic control theory (93E10)
Cited In (12)
- Existence and uniqueness for variational data assimilation in continuous time
- Graph-structured tensor optimization for nonlinear density control and mean field games
- A note on the memory length of optimal nonlinear filters
- Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
- On the small time behavior of the nonlinear estimation problem for finite bandwidth signals
- Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations
- Nonlinear filtering and large deviations:a pde-control theoretic approach
- Large deviation principle in discrete time nonlinear filtering
- Some Large Deviation Asymptotics in Small Noise Filtering Problems
- Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement
- Consistent parameter estimation for partially observed diffusions with small noise
- The detection and estimation of the change point in a disccrete-time stochastic system
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