Optimal parameter trajectory estimation in parameterized SDEs: an algorithmic procedure

DOI10.1145/1502787.1502791zbMATH Open1390.93746OpenAlexW1982273773MaRDI QIDQ4565411FDOQ4565411

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

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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)

Cited In (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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