Gradient of the log-likelihood ratio for infinite-dimensional stochastic systems

DOI10.1109/9.880646zbMATH Open0990.93124OpenAlexW2102692937MaRDI QIDQ2730244

Robert P. Leland

Publication date: 5 August 2001

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.880646

zbMATH Keywords

maximum likelihood estimaterandom heat equation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Related Items (1)

Likelihood ratio gradient estimation for Meixner distribution and Lévy processes

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