Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
Author:
Funder
Engineering and Physical Sciences Research Council
Labex (SE) PERSYVAL-Lab
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11203-019-09199-9.pdf
Reference56 articles.
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3. Bertsekas D (2005) Dynamic programming and optimal control. Athena Scientific, Belmont
4. Beskos A, Papaspiliopoulos O, Roberts GO, Fearnhead P (2006) Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes. J R Stat Soc Ser B Stat Methodol 68:333–382
5. Bibby B, Sorensen M (1995) Martingale estimating functions for discretely observed diffusion processes. Bernoulli 1:17–39
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