Conditional Moment Generating Functions for Integrals and Stochastic Integrals

DOI10.1137/S036301299833327XzbMath1069.93040OpenAlexW2179818486MaRDI QIDQ4443055

Robert J. Elliott, Vikram Krishnamurthy, Charalambos D. Charalambous

Publication date: 8 January 2004

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s036301299833327x

zbMATH Keywords

identificationstochastic partial differential equationsfilteringmaximum-likelihood estimatesfinite-dimensional filtersexpectation-maximizationrecursionsmoment generating functionsWiener chaos expansions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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