Conditional moment generating functions for integrals and stochastic integrals

SIAM Journal on Control and Optimization

Volumn 42, Issue 5, 2003, Pages 1578-1603

  Charalambous, C D ^a,b,c   Elliott, R J ^d   Krishnamurthy, V ^e,f  

^a UNIVERSITY OF CYPRUS   (Cyprus)

^b UNIVERSITY OF OTTAWA   (Canada)

^c MCGILL UNIVERSITY   (Canada)

^d UNIVERSITY OF CALGARY   (Canada)

^e UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^f UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Expectation maximization; Filters; Finite dimensional; Moment generating functions; Recursions

Indexed keywords

CONDITIONAL DISTRIBUTION; EXPECTATION-MAXIMIZATION; MOMENT GENERATING FUNCTIONS; STOCHASTIC INTEGRALS;

DIFFERENTIAL EQUATIONS; FUNCTIONS; INTEGRAL EQUATIONS; MATHEMATICAL MODELS; NONLINEAR SYSTEMS; PARAMETER ESTIMATION;

STOCHASTIC CONTROL SYSTEMS;

EID: 4944229715     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S036301299833327X     Document Type: Article

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