摘要
讨论了工程应用中广泛存在的一类连续型随机数学模型 (随机微分方程 )未知参数的估计问题 ,文章在分析了解过程概率特性的基础上 ,利用微分法给出了解过程的密度函数 ,借助极大似然法给出了未知参数的估计公式 。
Discuses the parameter estimation problem of a continuous type stochastic mathematical model (stochastic differential equation) in a wide engineering field. On analyzing the probability characteristics of process {( t ) ; t ≥0} , The density function of{ z(t) ; t ≥0} is determined by using It differential law. The maximum-likelihood estimating (MLE) algorithm of unknown parameter is obtained. It is proved that the estimating value of the unknown parameter is convergent almost everywhere in probability to the valid value of parameter.
出处
《哈尔滨商业大学学报（自然科学版）》
CAS
2003年第2期152-153,193,共3页
Journal of Harbin University of Commerce：Natural Sciences Edition
关键词
随机微分方程
未知参数
估计值
依概率收敛
stochastic differential equation
unknown parameter
estimating value
convergence almost everywhere in probability
