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Parameter Estimation for Controlled Semilinear Stochastic Systems: Identifiability and Consistency |
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| Authors: | B. Goldys B. Maslowski |
| Affiliation: | The University of New South Wales, Sydney, Australiaf1;Czech Academy of Sciences, Praha, Czech Republic, f2 |
| Abstract: | We consider a controlled stochastic semilinear evolution equation with the drift depending on the unknown parameter. We show that the maximum likelihood estimator is strongly consistent for a class of bounded predictable controls. |
| Keywords: | semilinear stochastic evolution equation maximum likelihood estimator identifiability invariant measure strong law of large numbers transition semigroup infinitesimal generator |
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