Inverse problem for nonlinear stochastic systems and necessary conditions for optimal choice of drift and diffusion vector fields

DOI10.7151/DMDICO.1230MaRDI QIDQ5040304zbMATH OpenOpenAlexFDO

Authors

Publication date 11 October 2022

Published in Discussiones Mathematicae. Differential Inclusions, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7151/dmdico.1230

zbMATH Keywords

existence of optimal drift-diffusion-jump triplesHilbert spaceidentificationinverse problemnecessary conditions of optimalitynonlinear stochastic systems

Mathematics Subject Classification ID

Existence theories for problems in abstract spaces (49J27) Existence of optimal solutions to problems involving randomness (49J55) Inverse problems in optimal control (49N45) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) System identification (93B30) Control/observation systems in abstract spaces (93C25)

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• Adjoint-based calibration of nonlinear stochastic differential equations

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