Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
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DOI: 10.1007/s11203-019-09199-9
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- Quentin Clairon & Adeline Samson, 2022. "Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations," Computational Statistics, Springer, vol. 37(5), pages 2471-2491, November.
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Keywords
Stochastic differential equations; Hypoellipticity; Estimation; Optimal control theory; Linear-quadratic theory; Pontryagin maximum principle;All these keywords.
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