Browsing by Subject "Stochastic integrals"
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Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case (1998)In this paper we consider continuous-time partially observed systems in which the parameters are unknown. We employ conditional moment generating functions of integrals and stochastic integrals to derive new maximum-likelihood ...
(2003)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...