Theory and algorithm of optimal control solution to dynamic system parameters identification. II: Stochastic system parameters identification and application example (Q1307966)

For Part I see ibid., 135-142 (1999; Zbl 0933.93031). This paper deals with a dynamic system and its parameter identification. Stochastic optimal control theory is used after using a procedure with Hamilton-Jacobi-Bellman equations for a parameter identification problem. Then, a parameter identification algorithm for a stochastic dynamic system is introduced. An application to nonlinear parameters identification is given in the last section.