Parameter identification in linear stochastic differential equations

DOI10.1016/0167-7152(89)90092-8MaRDI QIDQ1122222zbMATH OpenOpenAlexFDO

Authors Jacek Dabrowski

Publication date 1989

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(89)90092-8

zbMATH Keywords

linear stochastic differential equationsparameter identification

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inference from stochastic processes (62M99)

Review text

Consider the following system of one-dimensional stochastic equations: \[ dX_ t=aX_ tdt+dW_ t,\quad X_ 0=0,\quad dY_ t=X_ tdt+dV_ t,\quad Y_ 0=0, \] where \((W_ t)\) and \((V_ t)\) are independent one- dimensional Wiener processes and where \(Y_ t\) is observed at discrete moments \(t=kd\), where \(d>0\), \(k=1,2,3,...\) In the present paper an estimator of a is given (in case \(a<0)\). It is based on \(Y_{1d}\), \(Y_{2d}\), \(Y_{3d}\),... and it is shown that asymptotically the behavior of the system is the same whether one starts with a stationary solution or some initial state.

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Cites work

• scientific article; zbMATH DE number 3456236 (Why is no real title available?)
• On processes of ornstein-uhlenbeck type in hilbert space
• On stationary solutions of a stochastic differential equation
• Parameter identification in infinte dimensional linear systems

Cited in

(10)

• Identification of linear stochastic models with covariance restrictions
• Identifiability of linear parametric stochastic systems. I. Identifiability equations
• On periodic parameter identification in stochastic differential equations
• scientific article; zbMATH DE number 3862282 (Why is no real title available?)
• On Parameter Estimation in the Presence of Noise
• On a model with errors in variables described by stochastic differential equations
• scientific article; zbMATH DE number 9046 (Why is no real title available?)
• scientific article; zbMATH DE number 1009510 (Why is no real title available?)
• scientific article; zbMATH DE number 2030312 (Why is no real title available?)
• scientific article; zbMATH DE number 4001104 (Why is no real title available?)

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