Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations-Reference-Cited by-同舟云学术

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Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations

Published:2022-03-16 Issue:5 Volume:37 Page:2471-2491
ISSN:0943-4062
Container-title:Computational Statistics
language:en
Short-container-title:Comput Stat

Author:

Clairon Quentin^ORCID,Samson Adeline

Funder

LabEx PERSYVAL-Lab

MIAI@Grenoble Alpes

Innovative Medicines Initiative 2

Innovative Medicines Initiative

Publisher

Springer Science and Business Media LLC

Subject

Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s00180-022-01212-9.pdf

Reference40 articles.

1. Bierkens J, van der Meulen F, Schauer M (2020) Simulation of elliptic and hypo-elliptic conditional diffusions. Adv Appl Probab 52:173–212

2. Buckwar E, Samson A, Tamborrino M, et al (2021) Splitting methods for SDEs with locally lipschitz drift. An illustration on the FitzHugh-Nagumo model. arXiv:2101.01027

3. Cimen T (2008) State-dependent Riccati equation (SDRE) control: a survey. IFAC Proc 41:3761–3775

4. Cimen T, Banks S (2004) Global optimal feedback control for general nonlinear systems with nonquadratic performance criteria. Syst Control Lett 53:327–346

5. Cimen T, Banks S (2004) Nonlinear optimal tracking control with application to super-tankers for autopilot design. Automatica 40:1845–1863

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