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| Title | State and parameter estimation from boundary-crossings |
| Publication Type | Conference Paper |
| Year of Publication | 1998 |
| Authors | Krishnamurthy, V., and F. Le Gland |
| Conference Name | Decision and Control, 1998. Proceedings of the 37th IEEE Conference on |
| Pagination | 3954 -3959 vol.4 |
| Date Published | dec. |
| Keywords | boundary-crossings, diffusion, diffusion process, drift coefficient, Feynman Kac type functionals, filtering theory, finite dimensional reconstructors, functional equations, maximum likelihood estimation, maximum likelihood parameter estimates, partial differential equations, probability, state estimation |
| Abstract | We consider the problem of estimating the state, and identifying parameters of a diffusion process, when the only available information is the crossing times of a boundary. By using a partial differential equation approach related with the computation of boundary-crossing probabilities, we derive finite dimensional reconstructors (filters) for the state and Feynman Kac type functionals of the state. These are then used to compute maximum likelihood parameter estimates of the drift coefficient of the diffusion |
| URL | http://dx.doi.org/10.1109/CDC.1998.761849 |
| DOI | 10.1109/CDC.1998.761849 |