An identification problem for systems with additive fractional Brownian field

DOI10.1007/S10559-016-9850-1MaRDI QIDQ334261zbMATH OpenOpenAlexFDO

Authors O. M. Deriyeva, S. P. Shpyga

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

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

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Cites work

• scientific article; zbMATH DE number 1064654 (Why is no real title available?)
• scientific article; zbMATH DE number 3797051 (Why is no real title available?)
• 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
• Control problem for diffusion-type random fields
• Estimation for a semimartingale regression model using the method of sieves
• Identification of Nonstationary Diffusion Model by the Method of Sieves
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• Parameter estimation for stochastic equations with additive fractional Brownian sheet
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• Statistical inference for fractional diffusion processes

Cited in

(1)

• Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion

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