Parameter identification for stochastic diffusion equations with unknown boundary conditions

DOI10.1007/BF01448357MaRDI QIDQ1099124zbMATH OpenOpenAlexFDO

Authors Arunabha Bagchi, Shin Ichi Aihara

Publication date 1988

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01448357

zbMATH Keywords

diffusion equations with unknown boundary conditionsidentification problemmaximum likelihood estimate

Mathematics Subject Classification ID

Diffusion processes (60J60) Foundations and philosophical topics in statistics (62A01) Control/observation systems governed by partial differential equations (93C20) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

Stochastic diffusion equations with unknown boundary conditions are encountered in practice whenever the boundary is observed only through noisy measurements. Parameter identification for such systems is studied in the present paper. The boundary condition is treated as an unknown parameter in a function space as an intermediate step in solving the identification problem, which is then achieved in two steps. First, the maximum a posteriori smoothed estimate of the boundary data is derived and, then, the maximum likelihood estimate of the unknown parameters is obtained. Finally, the proposed method is illustrated by means of an example.

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Cited in

(11)

• Maximum likelihood estimate for discontinuous parameter in stochastic hyperbolic systems
• Parameter estimation for controlled semilinear stochastic systems: Identifiability and consistency
• On periodic parameter identification in stochastic differential equations
• Identification of a time-dependent control parameter for a stochastic diffusion equation
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• Dynamic identification of boundary conditions for convection-diffusion transport model in the case of noisy measurements
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