Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
DOI10.1007/s11203-019-09199-9zbMath1436.62077OpenAlexW2916029836WikidataQ127676807 ScholiaQ127676807MaRDI QIDQ1984647
Quentin Clairon, Adeline Samson
Publication date: 7 April 2020
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-019-09199-9
estimationhypoellipticityPontryagin maximum principleoptimal control theorystochastic differential equation (SDE)linear-quadratic theory
Point estimation (62F10) Optimality conditions for problems involving partial differential equations (49K20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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