Abstract
Publisher Summary This chapter presents a parameter and state estimation for a diffusion process. It focuses on diffusions governed by homogeneous autonomous linear parabolic partial differential equations. The chapter presents an inverse problem of determination of parameters in σ from certain observations of the evolving state x(·). The emphasis is primarily on problem formulations and the considerations relevant to possible approaches rather than on rigorous proof. The chapter also discusses the standard approaches to the identification of finite-dimensional, lumped parameter systems.
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