Title :
Estimation of parameters for stochastic differential equations with state dependent noise
Author_Institution :
Dept. of Math., Kansas Univ., Lawrence, KS, USA
Abstract :
The problem of estimation of parameters for a class of stochastic differential equations is studied. The estimators are known for the case in which there is continuous observation of the state, and are given in this paper for the case in which the state is observed only at discrete moments
Keywords :
differential equations; observers; parameter estimation; discrete moments; state dependent noise; stochastic differential equations; Convergence; Differential equations; Mathematics; Motion estimation; Parameter estimation; Snow; State estimation; Stochastic processes; Stochastic resonance; Stock markets;
Conference_Titel :
Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on
Conference_Location :
Lake Buena Vista, FL
Print_ISBN :
0-7803-1968-0
DOI :
10.1109/CDC.1994.410864
