Browsing Preprints aus dem Institut für Mathematik by Subject "mean square accuracy"

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2006-08-02Buch

On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations

Küchler, Uwe; Vasiliev, Vjatscheslav A.

Let (X(t), t ≥ −1) and (Y (t), t ≥ 0) be stochastic processes satisfying dX(t) = aX(t)dt + bX(t − 1)dt + dW(t) and dY (t) = X(t)dt + dV (t), respectively. Here (W(t), t ≥ 0) and (V (t), t ≥ 0) are independent standard ...