Estimation of the coefficients in the parabolic equation by the statistical simulation of diffusion trajectories

DOI10.1163/156939803769210966zbMath1045.65081OpenAlexW2014952693MaRDI QIDQ4461842

S. A. Gusev

Publication date: 18 May 2004

Full work available at URL: https://doi.org/10.1163/156939803769210966

zbMATH Keywords

parabolic equationsleast squares methodstatistical simulationsystem of stochastic differential equationsestimation of coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Inverse problems for PDEs (35R30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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