Title :
Estimating the time-varying parameters of SDE models by maximum principle
Author :
Filatova, Darya V. ; Orlowski, Andrzej ; Dicoussar, Vasilii
Author_Institution :
Jan Kochanowski Univ. in Kielce, Kielce, Poland
Abstract :
We present a parameter estimation method of stochastic differential equations with time-varying coefficients, where data can be observed at discrete points of time. Our objective is to develop the uniform mathematical technique to solve the parameter estimation problem for stochastic differential equations with both ordinary and fractional Brownian motions. This estimation principle is based on the replacement of a stochastic differential equation by a system of ordinary differential equations, which present the moment functions, and on the application of the Pontryagin´s maximum principle to find the optimal estimates of the time-varying coefficients of the initial equation. The key point is the constraints structural selection, which leads to major modifications of algorithms of analytical and numerical solutions. This estimation method is applied to study the North Atlantic herring population dynamics.
Keywords :
differential equations; maximum principle; parameter estimation; stochastic processes; time-varying systems; North Atlantic herring population dynamics; Pontryagin maximum principle; SDE models; constraints structural selection; estimation principle; fractional Brownian motion; moment functions; ordinary Brownian motion; ordinary differential equations; parameter estimation; stochastic differential equations; time-varying coefficients; time-varying parameters; Differential equations; Equations; Estimation; Optimal control; Parameter estimation; Sociology; Stochastic processes;
Conference_Titel :
Methods and Models in Automation and Robotics (MMAR), 2014 19th International Conference On
Conference_Location :
Miedzyzdroje
Print_ISBN :
978-1-4799-5082-9
DOI :
10.1109/MMAR.2014.6957387