An identification problem for systems with additive fractional Brownian field

DOI10.1007/s10559-016-9850-1zbMath1348.93267OpenAlexW2396499848MaRDI QIDQ334261

S. P. Shpyga, O. M. Deriyeva

Publication date: 1 November 2016

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-016-9850-1

zbMATH Keywords

identification problemdrift parameterfractional Brownian fieldmethod of sieves

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Unnamed Item
• Unnamed Item
• Parameter estimation for stochastic equations with additive fractional Brownian sheet
• Estimation for a semimartingale regression model using the method of sieves
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• Control problem for diffusion-type random fields
• Statistical Inference for Fractional Diffusion Processes
• Identification of Nonstationary Diffusion Model by the Method of Sieves
• Asymptotic Analysis of the Sieve Estimator for a Class of Parabolic SPDEs
• Asymptotic properties of an estimator for the drift coefficient of a stochastic differential equation with fractional Brownian motion