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Simultaneous determination of the drift and diffusion coeffcients in stochastic differential equations
Simultaneous determination of the drift and diffusion coeffcients in stochastic differential equations
教师介绍

本讲教师:Cristofol Michel
所属学科:理科
人  气:241

课程介绍
摘要:In this talk, I consider a one-dimensional Ito? diffusion process $X_t$ with possibly nonlinear drift and diffusion coeffcients. I will show that, when the diffusion coeffcient is known, the drift coeffcient is uniquely determined by an observation of the expectation of the process during a small time interval, and starting from values $X_0$ in a given subset of ${mathbb R}$. With the same type of observation, and given the drift coeffcient, I also show that the diffusion coeffcient is uniquely determined. When both coeffcients are unknown, they are simultaneously uniquely determined by the observation of the expectation and variance of the process, during a small time interval, and starting again from values $X_0$ in a given subset of ${mathbb R}$.

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