An identification problem for partially observed infinite dimensional linear stochastic systems

DOI10.1080/02331939808844384zbMath0906.93056OpenAlexW2095069383MaRDI QIDQ4397403

Wilfried Grecksch, Constantin Tudor

Publication date: 16 February 1999

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331939808844384

zbMATH Keywords

identificationoptimizationminimization probleminfinite-dimensional systemslinear stochastic systemfinite dimensional approximationexistence of an optimum

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Control/observation systems in abstract spaces (93C25)

Cites Work

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• Parameter identification for hyperbolic stochastic systems
• Parameter identification for partially observed diffusions
• Identification of linear stochastic systems based on partial information
• Filtering and controal of stochastic differential equations with unbounded coefficients
• Galerkin Approximation for Optimal Linear Filtering of Infinite-Dimensional Linear Systems
• Stochastic partial differential equations and filtering of diffusion processes
• Regularized Maximum Likelihood Estimate for an Infinite-Dimensional Parameter in Stochastic Parabolic Systems

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