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Simultaneous Determination of the Drift and Diffusion Coefficients in Stochastic Differential Equations
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SpeakerCristofol Michel

       Aix Marseille Univ, CNRS, Centrale Marseille, I2M, Marseille, France

Time2017-4-12  15:00-16:00

 

PlaceRoom 1518, School of Mathematical Sciences

 

Detail

   In this talk, I consider a one-dimensional Itoˆ diusion process $X_t$ with possibly nonlinear drift and diusion coecients. I will show that, when the diusion coecient is known, the drift coecient is uniquely determined by an observation of the expectation of the process during a small time interval, and starting from values $X_0$ in a given subset of ${\mathbb R}$. With the same type of observation, and given the drift coecient, I also show that the diusion coecient is uniquely determined. When both coecients are unknown, they are simultaneously uniquely determined by the observation of the expectation and variance of the process, during a small time interval, and starting again from values $X_0$ in a given subset of ${\mathbb R}$.

 

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