Parameter estimation in stochastic differential equations: An overview

Annual Reviews in Control

Volumn 24, Issue , 2000, Pages 83-94

  Nielsen, Jan Nygaard ^a   Madsen, Henrik ^a   Young, Peter C ^b  

^a TECHNICAL UNIVERSITY OF DENMARK   (Denmark)

^b LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; DISCRETE TIME CONTROL SYSTEMS; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; NONLINEAR CONTROL SYSTEMS; NONLINEAR FILTERING; PROBABILITY DENSITY FUNCTION; SPURIOUS SIGNAL NOISE; STATE SPACE METHODS; STOCHASTIC CONTROL SYSTEMS;

CONTINUOUS-DISCRETE TIME STATE SPACE MODELS; STOCHASTIC DIFFERENTIAL EQUATIONS;

PARAMETER ESTIMATION;

EID: 0033750896     PISSN: 13675788     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1367-5788(00)00005-5     Document Type: Article

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