Asymptotic Bayesian estimation of a first order equation with small diffusion

DOI10.1214/AOP/1176993238MaRDI QIDQ796167zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian estimation

Mathematics Subject Classification ID

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)

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Cited in

(12)

• The detection and estimation of the change point in a disccrete-time stochastic system
• Existence and uniqueness for variational data assimilation in continuous time
• Graph-structured tensor optimization for nonlinear density control and mean field games
• Some large deviation asymptotics in small noise filtering problems
• 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
• 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

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