Optimal parameter trajectory estimation in parameterized SDEs: an algorithmic procedure

DOI10.1145/1502787.1502791MaRDI QIDQ4565411zbMATH OpenOpenAlexFDO

Authors Shalabh Bhatnagar, Karmeshu, 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

zbMATH Keywords

simulation optimizationsmoothed functional algorithmoptimal parameter trajectoryparameterized stochastic differential equations (SDEs)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)

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(3)

• A simulation-based algorithm for optimal pricing policy under demand uncertainty
• Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations
• Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems

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