Optimal parameter trajectory estimation in parameterized SDEs
From MaRDI portal
Publication:4565411
DOI10.1145/1502787.1502791zbMath1390.93746MaRDI QIDQ4565411
Karmeshu, Shalabh Bhatnagar, Vivek Kumar Mishra
Publication date: 12 June 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/1502787.1502791
simulation optimization; smoothed functional algorithm; optimal parameter trajectory; parameterized stochastic differential equations (SDEs)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E10: Estimation and detection in stochastic control theory
Related Items
A simulation‐based algorithm for optimal pricing policy under demand uncertainty, Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems