Asymptotic Parameter Estimation for a Class of Linear Stochastic Systems Using Kalman-Bucy Filtering英文文献资料.docVIP

HindawiPublishingCorporation MathematicalProblemsinEngineering Volume2012,ArticleID342705,15pages doi:10.1155/2012/342705 ResearchArticle Asymptotic ParameterEstimation for aClassofLinearStochasticSystemsUsing Kalman-Bucy Filtering XiuKan, HuishengShu, andYanChe 1 2 1 1SchoolofInformation ScienceandTechnology,DonghuaUniversity,Shanghai200051,China 2SchoolofScience,DonghuaUniversity,Shanghai200051,China Correspondence shouldbeaddressedtoHuisheng Shu,hsshu@ Received21June2012;Accepted 21July2012 Academic Editor:JunHu Copyright q2012XiuKanetal. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use,distribution, andreproduction in anymedium,providedtheoriginalworkisproperlycited. The asymptotic parameter estimation isinvestigated foraclass oflinear stochastic systems with unknown parameter θ:dXtθαtβtXtdtσtdWt.Continuous-time Kalman-Bucy linear ?ltering theory is ?rst used to estimate the unknown parameter θ based on Bayesian analysis. Then, some su?cient conditions oncoe?cients aregiven toanalyze theasymptotic convergence oftheestimator.Finally,thestrongconsistentpropertyoftheestimatorisdiscussedbycomparison theorem. 1.Introduction Stochastic di?erential equations SDEs are a natural choice to model the time evolution ofdynamicsystemswhicharesubjecttorandomin?uences.Suchmodelshavebeenused withgreatsuccessinavarietyofapplicationareas,includingbiology,mechanics,economics, geophysics,oceanography,and?nance.Forinstance,referto1–8 .Inreality,itisunavoidable that a stochastic system contains unknown parameters. Since 1962, Arato et al. 10 ?rst applied parameter estimation to geophysical problem. Parameter estimation for SDEs has attractedthecloseattentionofmanyresearchers,andmanyparameterestimationmethods for various advanced models have been studied, such as maximum likelihood estimation MLE,BayesestimationBE,maximumprobabilityestimationMPE,