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Maximum a Posteriori Joint State Path and Parameter Estimation in Stochastic Differential Equations
Dimas Abreu Dutra
A wide variety of phenomena of engineering and scientific interest are of a continuous-time nature and can be modeled by stochastic differential equations (SDEs), which represent t…
Joint Maximum a Posteriori State Path and Parameter Estimation in Stochastic Differential Equations
Dimas Abreu Archanjo Dutra, Bruno Otávio Soares Teixeira, Luis Antonio Aguirre
In this article, we introduce the joint maximum a posteriori state path and parameter estimator (JME) for continuous-time systems described by stochastic differential equations (SD…
Maximum a Posteriori State Path Estimation: Discretization Limits and their Interpretation
Dimas Abreu Dutra, Bruno Otávio Soares Teixeira, Luis Antonio Aguirre
Continuous-discrete models with dynamics described by stochastic differential equations are used in a wide variety of applications. For these systems, the maximum a posteriori (MAP…