Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 0822.62068
James, M.R.; Le Gland, F.
Consistent parameter estimation for partially observed diffusions with small noise. (English)
[J] Appl. Math. Optimization 32, No.1, 47-72 (1995). ISSN 0095-4616; ISSN 1432-0606/e

Summary: We provide a consistency result for the MLE for partially observed diffusion processes with small noise intensities. We prove that if the underlying deterministic system enjoys an identifiability property, then any MLE is close to the true parameter if the noise intensities are small enough. The proof uses large deviations limits obtained by PDE vanishing viscosity methods. A deterministic method of parameter estimation is formulated. We also specialize our results to a binary detection problem, and compare deterministic and stochastic notions of identifiability.

MSC 2000:: *62M05 Markov processes: estimation
62F12 Asymptotic properties of parametric estimators
93E11 Filtering in stochastic control
93E10 Estimation and detection in stochastic control
60F10 Large deviations

Keywords: nonlinear filtering; consistency result; partially observed diffusion processes; small noise intensities; identifiability property; PDE vanishing viscosity methods; binary detection problem

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]