In this paper a finite-dimensional diffusion is observed in the presence of an additive Brownian motion. A large deviations result is obtained for the conditional probability distribution of the diffusion given the observations as the noise variances go to zero.
Publié le : 1984-08-14
Classification:
Large deviations,
Bayesian estimation,
diffusion,
58G32,
60F10,
93E10
@article{1176993238,
author = {Hijab, Omar},
title = {Asymptotic Bayesian Estimation of a First Order Equation with Small Diffusion},
journal = {Ann. Probab.},
volume = {12},
number = {4},
year = {1984},
pages = { 890-902},
language = {en},
url = {http://dml.mathdoc.fr/item/1176993238}
}
Hijab, Omar. Asymptotic Bayesian Estimation of a First Order Equation with Small Diffusion. Ann. Probab., Tome 12 (1984) no. 4, pp. 890-902. http://gdmltest.u-ga.fr/item/1176993238/