Parameter identification for partially observed diffusions

DOI10.1007/BF00939904MaRDI QIDQ1321242zbMATH OpenOpenAlexFDO

Authors Tayel Essawy Dabbous, N. U. Ahmed

Publication date 21 July 1994

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00939904

zbMATH Keywords

Zakai equationpartially observed systems[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+equations&go=Go It�� equations]

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Observability (93B07) System identification (93B30)

Recommendations

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• Parameter identification of distributed parameter systems
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• Consistent parameter estimation for partially observed diffusions with small noise

Cites work

• scientific article; zbMATH DE number 4160608 (Why is no real title available?)
• scientific article; zbMATH DE number 3740236 (Why is no real title available?)
• scientific article; zbMATH DE number 193370 (Why is no real title available?)
• scientific article; zbMATH DE number 193432 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Dynamical equations for optimal nonlinear filtering
• Identification and model approximation for continuous-time systems on finite parameter sets
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Optimal Control for Partially Observed Diffusions

Cited in

(9)

• Partial identification of spread parameters
• scientific article; zbMATH DE number 17499 (Why is no real title available?)
• To the parameter identification of Markov diffusions; the use of the maximum quadratic variation functional
• scientific article; zbMATH DE number 754520 (Why is no real title available?)
• Parameter identification for stochastic diffusion equations with unknown boundary conditions
• An identification problem for partially observed infinite dimensional linear stochastic systems
• Adaptive boundary concentration control using Zakai equation
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Consistent parameter estimation for partially observed diffusions with small noise

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