scientific article; zbMATH DE number 3576395

From MaRDI portal
Publication:4148534

zbMath0369.60001MaRDI QIDQ4148534

Albert N. Shiryaev, Robert Sh. Liptser

Publication date: 1978


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (only showing first 100 items - show all)

On European option pricing under partial information.Method of moments estimators and multi-step MLE for Poisson processesRandomised sequential probability ratio tests for stochastic processesOptimum design of measurement channels and control policies for linear- quadratic stochastic systemsNonlinear filtering of systems governed by Ito differential equations with jump parametersNonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metricAn infinite expansion for nonlinear filteringConvergence of thinning processes using compensatorsA note on the conditional Fatou lemmaStrong consistency of least squares estimates in linear regression models driven by semimartingalesContinuity of filtrations of sigma algebrasNew results on the Gaussian projection filter with small observation noiseTransformations of Lebesgue-Stieltjes integralsNecessary and sufficient conditions for stochastic differential systems with multi-time state cost functionalEstimating a parametric trend component in a continuous-time jump-type processTime reversal and stationarity of infinite-dimensional Markov birth-and- death processesNonlinear data observability and informationA replacement model with general age-dependent failure ratesAsymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion modelEstimation of parameters for Hilbert space-valued partially observable stochastic processesStatistical inference for SPDEs: an overviewA note on the exponentiality of total hazards before failureState estimation for Cox processes on general spacesRank tests for matched pair experiments with censored dataLikely path to extinction in simple branching models with large initial populationFixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equationRandom time change and an integral representation for marked stopping timesNonlinear filtering problem with contaminationCoupling with compensatorsSequential estimation for a family of counting processes in the nuisance parameter caseOn stochastic observability and controllabilityThree parameter gamma-type growth curve, using a stochastic gamma diffusion model: computational statistical aspects and simulationContinuous-discrete state-space modeling of panel data with nonlinear filter algorithmsOn parameter estimation for cusp-type signalsA note on functional derivatives on continuous pathsOptimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck processPricing of American options in discrete time using least squares estimates with complexity penaltiesOn the bias of the least squares estimator for the first order autoregressive processFiltration of stationary Gaussian statistical experimentsSimultaneous design of measurement and control strategies for stochastic systems with feedbackLocally most powerful sequential tests for stochastic processesMaximum likelihood estimation for stochastic Lotka-Volterra model with jumpsA partially observed Poisson processParameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observationMean-square data-based controller for nonlinear polynomial systems with multiplicative noiseAn existence result for a linear abstract stochastic equation in Hilbert spacesLarge deviations in testing fractional Ornstein-Uhlenbeck modelsA Kalman filtering technique for certain Markov chainsAdaptive control in the scalar linear-quadratic model in continuous timeConjugate priors for exponential-type processesOptimal estimation of Eulerian velocity field given Lagrangian observationsForecasting the US unemployment rateModelling and forecasting exchange rates with a Bayesian time-varying coefficient modelRegularization under diffusion and anticoncentration of the information contentStein estimation for the drift of Gaussian processes using the Malliavin calculusSome theorems on conditional Pasta: A stochastic integral approachLocal asymptotic mixed normality for semimartingale experimentsComparison of location models for stochastic processesAn anticipative linear filtering equationAnalysis of least squares regression estimates in case of additional errors in the variablesMaximum likelihood estimation for reflected Ornstein-Uhlenbeck processesPartially observable linear-quadratic stochastic pursuit-evasion gamesConvergence results for continuous-time adaptive stochastic filtering algorithmsOn-line tracking of a smooth regression functionBayesian parameter estimation and prediction in mean reverting stochastic diffusion modelsNonparametric hypothesis testing for intensity of the Poisson processOn perpetual American put valuation and first-passage in a regime-switching model with jumpsMaximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parametersHypotheses testing: Poisson versus stress-releaseBoundary value problems arising in Kalman filteringOptimal trading strategy for an investor: the case of partial informationFiltering via estimating functionsCapacity of mismatched Gaussian channels with and without feedbackFiltering and parameter estimation in a simple linear system driven by a fractional Brownian motionGirsanov's theorem in Hilbert space and an application to the statistics of Hilbert space-valued stochastic differential equationsPoisson convergence in two dimensions with application to row and column exchangeable arraysTracking of signals and its derivatives in Gaussian white noiseOn the synthesis of optimal control for the continuous-time linear stochastic systems with singular mean-square performance indexOptimal consumption and investment under partial informationLaw equivalence of stochastic linear systemsRisk-hedging in real estate marketsStability results for a general class of interacting point processes dynamics, and applicationsOn some abstract stochastic differential equationsOn the existence of optimal solutions in a stochastic control modelAsymptotic reliability of a linearly connected system with an infinite number of componentsThe martingale method: Introductory sketch and access to the literatureParameter estimation for point processes with partial observations: A filtering approachInference for earthquake models: A self-correcting modelTime and Palm stationarity of repairable systemsSuboptimal Kalman filtering for linear systems with Gaussian-sum type of noiseLarge deviations and stationary measures for interacting particle systemsSingularity of two diffusions on \({\mathcal C}_ \infty\)Filtering of derived point processesAbout Gaussian schemes in stochastic approximationFiltering problems for conditionally linear systems with non-Gaussian initial conditionsLocal scale models. State space alternative to integraded GARCH processesStochastic ordering and thinning of point processesAdaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariatesThe maximum principle for stochastic differential systems with general cost functionalParameter estimation for nearly nonstationary AR(1) processes




This page was built for publication: