Parameter identification for partially observed diffusions

DOI10.1007/BF00939904zbMath0792.93023OpenAlexW2032173367MaRDI QIDQ1321242

Tayel Essawy Dabbous, Nasir Uddin Ahmed

Publication date: 21 July 1994

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00939904

zbMATH Keywords

Zakai equationpartially observed systemsItô equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) System identification (93B30) Observability (93B07)

Related Items

Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ An identification problem for partially observed infinite dimensional linear stochastic systems

Cites Work

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• Dynamical equations for optimal nonlinear filtering
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Optimal Control for Partially Observed Diffusions
• Identification and model approximation for continuous-time systems on finite parameter sets