Mostrar el registro sencillo del ítem

dc.rights.licenseauthentificationen_US
hal.structure.identifierBordeaux population health [BPH]
dc.contributor.authorCLAIRON, Quentin
dc.contributor.authorSAMSON, Adeline
dc.date.accessioned2022-06-20T10:15:40Z
dc.date.available2022-06-20T10:15:40Z
dc.date.issued2022-03-16
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/140282
dc.description.abstractEnWe deal with the problem of parameter estimation in stochastic differential equations (SDEs) in a partially observed framework. We aim to design a method working for both elliptic and hypoelliptic SDEs, the latters being characterized by degenerate diffusion coefficients. This feature often causes the failure of contrast estimators based on Euler Maruyama discretization scheme and dramatically impairs classic stochastic filtering methods used to reconstruct the unobserved states. All of theses issues make the estimation problem in hypoelliptic SDEs difficult to solve. To overcome this, we construct a well-defined cost function no matter the elliptic nature of the SDEs. We also bypass the filtering step by considering a control theory perspective. The unobserved states are estimated by solving deterministic optimal control problems using numerical methods which do not need strong assumptions on the diffusion coefficient conditioning. Numerical simulations made on different partially observed hypoelliptic SDEs reveal our method produces accurate estimate while dramatically reducing the computational price comparing to other methods.
dc.language.isoENen_US
dc.subject.enHypoellipticity
dc.subject.enOptimal control theory
dc.subject.enParameter estimation
dc.subject.enStochastic differential equations
dc.title.enOptimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations
dc.typeArticle de revueen_US
dc.identifier.doi10.1007/s00180-022-01212-9en_US
dc.subject.halSciences du Vivant [q-bio]/Santé publique et épidémiologieen_US
bordeaux.journalComputational Statisticsen_US
bordeaux.hal.laboratoriesBordeaux Population Health Research Center (BPH) - UMR 1219en_US
bordeaux.institutionUniversité de Bordeauxen_US
bordeaux.institutionINSERMen_US
bordeaux.teamSISTM_BPHen_US
bordeaux.peerReviewedouien_US
bordeaux.inpressnonen_US
hal.identifierhal-03320139
hal.version2
hal.exportfalse
dc.rights.ccPas de Licence CCen_US
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Computational%20Statistics&rft.date=2022-03-16&rft.au=CLAIRON,%20Quentin&SAMSON,%20Adeline&rft.genre=article


Archivos en el ítem

ArchivosTamañoFormatoVer

No hay archivos asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem