1 citations · 1 across the 2 of their papers we have counts for
4 papers
The least favorable noise
Philip A. Ernst, Abram M. Kagan, L. C. G. Rogers
Suppose that a random variable of interest is observed perturbed by independent additive noise . This paper concerns the "the least favorable perturbation" $\hat Y_\ep$, whi…
Change of drift in one-dimensional diffusions
Sascha Desmettre, Gunther Leobacher, L. C. G. Rogers
It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same…
When is it best to follow the leader?
Philip Ernst, L. C. G. Rogers, Quan Zhou
An object is hidden in one of boxes. Initially, the probability that it is in box is . You then search in continuous time, observing box at time , and rece…
Least-action filtering
L. C. G. Rogers
This paper presents an approach to estimating a hidden process in a continuous-time setting, where the hidden process is a diffusion. The approach is simply to minimize the negativ…