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dc.contributor.authorDabbous, T.E.en_US
dc.contributor.authorAhmed, N.U.en_US
dc.date.accessioned2016-02-08T10:55:00Z
dc.date.available2016-02-08T10:55:00Z
dc.date.issued1992en_US
dc.identifier.issn223239
dc.identifier.urihttp://hdl.handle.net/11693/26100
dc.description.abstractIn this paper, we consider the identification problem of drift and dispersion parameters for a class of partially observed systems governed by Ito equations. Using the pathwise description of the Zakai equation, we formulate the original identification problem as a deterministic control problem in which the unnormalized conditional density (solution of the Zakai equation) is treated as the state, the unknown parameters as controls, and the likelihood ratio as the objective functional. The question of existence of elements in the parameter set that maximize the likelihood ratio is discussed. Further, using variational arguments and the Gateaux differentiability of the unnormalized density on the parameter set, we obtain the necessary conditions for optimal identification. © 1992 Plenum Publishing Corporation.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of Optimization Theory and Applicationsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1007/BF00939904en_US
dc.subjectdistributed-parameter systemsen_US
dc.subjectlikelihood ratioen_US
dc.subjectNonlinear filteringen_US
dc.subjectoptimal controlen_US
dc.subjectparameter identificationen_US
dc.subjectDifferentiation (calculus)en_US
dc.subjectDiffusionen_US
dc.subjectDistributed parameter control systemsen_US
dc.subjectMathematical modelsen_US
dc.subjectOptimal control systemsen_US
dc.subjectSignal filtering and predictionen_US
dc.subjectState space methodsen_US
dc.subjectVariational techniquesen_US
dc.subjectDeterministic control problemen_US
dc.subjectGateaux differentiabilityen_US
dc.subjectIto equationsen_US
dc.subjectLikelihood ratioen_US
dc.subjectNonlinear filteringen_US
dc.subjectOptimal controlen_US
dc.subjectParameter identificationen_US
dc.subjectZakai equationen_US
dc.subjectParameter estimationen_US
dc.titleParameter identification for partially observed diffusionsen_US
dc.typeArticleen_US
dc.departmentDepartment of Electrical and Electronics Engineering
dc.citation.spage33en_US
dc.citation.epage50en_US
dc.citation.volumeNumber75en_US
dc.citation.issueNumber1en_US
dc.identifier.doi10.1007/BF00939904en_US
dc.publisherKluwer Academic Publishers-Plenum Publishersen_US


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