Parameter estimation in SDEs via the Fokker-Planck equation: likelihood function and adjoint based gradient computation
type: Item
instance of: scholarly article
title: Parameter estimation in SDEs via the Fokker-Planck equation: likelihood function and adjoint based gradient computation
zbMATH Open document ID: 1390.60210
author: Barbara Kaltenbacher
author: Barbara Pedretscher
published in: Journal of Mathematical Analysis and Applications
publication date: 2018-07-04T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 35Q84
Mathematics Subject Classification ID: 35R60
zbMATH DE Number: 6898335
zbMATH Keywords: parameter identification
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: state space model
zbMATH Keywords: likelihood function
zbMATH Keywords: adjoint method
MaRDI profile type: Publication
full work available at URL: j.jmaa.2018.05.048
OpenAlex ID: W2804977737
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Wikidata QID: Q129815108
DOI: 10.1016/J.JMAA.2018.05.048
description: scientific article; zbMATH DE number 6898335