Recursive identification in continuous-time stochastic processes

Stochastic Processes in Continuous Time

1 Basic Concepts 3 1.1 Notions of equivalence of stochastic processes . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1.2 Sample path properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.3 Properties of filtrations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1.4 Stopping times . . . . . . . . . . . . . . . . . ....

Part II CONTINUOUS TIME STOCHASTIC PROCESSES

Recursive Identification of Continuous-Time Linear Stochastic Systems – An Off-Line Approximation

We consider multi-variable continuous-time linear stochastic systems given in innovation form, with system matrices depending on an unknown parameter that is locally identifiable. A computable continuous-time recursive maximum likelihood (RML) method with resetting has been proposed in our ECC 09 paper. Resetting takes place if the estimator process hits the boundary of a pre-specified compact ...

Continuous stochastic logic characterizes bisimulation of continuous-time Markov processes

In a recent paper Baier, Haverkort, Hermanns and Katoen [BHHK00], analyzed a new way of model-checking formulas of a logic for continuoustime processes called Continuous Stochastic Logic (henceforth CSL) – against continuous-time Markov chains – henceforth CTMCs. One of the important results of that paper was the proof that if two CTMCs were bisimilar then they would satisfy exactly the same fo...

Recursive estimation for continuous time stochastic volatility models

Optimal as well as recursive parameter estimation for semimartingales had been studied in Thavaneswaran and Thompson [1, 2]. Recently, there has been a growing interest in modeling volatility of the observed process by nonlinear stochastic processes (Taylor [3]). In this paper, we study the recursive estimates for various classes of discretely sampled continuous time stochastic volatility model...