Identification for some linear systems with fractional Brownian motion

被引：0

作者：

Pasik-Duncan, B ^{[1
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

来源：

OPTIMAL CONTROL AND PARTIAL DIFFERENTIAL EQUATIONS: IN HONOR OF PROFESSOR ALAIN BENSOUSSAN'S 60TH BIRTHDAY | 2001年

关键词：

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, a family of estimators is given for some unknown parameters in a linear stochastic differential equation with a fractional Brownian motion having the Hurst parameter in the interval (1/2, 1). The family of estimators is shown to be strongly consistent and a rate of convergence can be obtained from the law of iterated logarithm for fractional Brownian motion. Examples of systems described by partial differential equations with fractional Brownian motion and unknown parameters are presented.

引用

页码：277 / 282

页数：6

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