带随机初始条件的一阶线性It?型随机微分方程未知参数的估计  

Estimation of Unknown Parameter in One-order Linear It? Stochastic Differential Equation with Random Initial Condition

作　　者：梁学忠[1] 

机构地区：[1]哈尔滨电工学院数学教研室

出　　处：《哈尔滨电工学院学报》1990年第3期316-320,共5页

摘　　要：本文在文献的基础上,讨论了带随机初始条件的一阶线性It?型随机微分方程未知参数的估计问题.通过对解的结构进行分析,求得了概率密度函数.于是,利用极大似然法导出了未知参数的估计公式,并且证明了参数估值依概率1收敛到参数的真值.On the basis of literature [1] the estimation problem of unknown parameter in one-order linear It? stochastic differential equation with random initial condition is discussed in this paper. By analysing structure of solving process {x_t∶t≥0}, the probability density function of process {x_t∶t≥0} is determinated; With help of the maximum-Likelihood estimation, Estimating algorithm of unknown parameter is obtained; Finally, it is proved that the estimate value of unknown parameter is convergence almost everywhere to the valid value of parameter.

关 键 词：随机微分方程 参数估计 

分 类 号：O211.63[理学—概率论与数理统计]