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Consistent parameter estimation for partially observed diffusions with small noise. (English) Zbl 0822.62068
Summary: We provide a consistency result for the MLE for partially observed diffusion processes with small noise intensities. We prove that if the underlying deterministic system enjoys an identifiability property, then any MLE is close to the true parameter if the noise intensities are small enough. The proof uses large deviations limits obtained by PDE vanishing viscosity methods. A deterministic method of parameter estimation is formulated. We also specialize our results to a binary detection problem, and compare deterministic and stochastic notions of identifiability.
MSC:
62M05Markov processes: estimation
62F12Asymptotic properties of parametric estimators
93E11Filtering in stochastic control
93E10Estimation and detection in stochastic control
60F10Large deviations
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