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Published in:
An Inverse Conductivity Problem in Multifrequency Electric Impedance Tomography Read chapter Read first chapter

2020 | OriginalPaper | Chapter

3. Simultaneous Determination of Two Coefficients in Itô Diffusion Processes: Theoretical and Numerical Approaches

Authors : Michel Cristofol, Lionel Roques

Published in: Inverse Problems and Related Topics

Publisher: Springer Singapore

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Abstract

In this paper, we consider a one-dimensional Itô diffusion process \(X_t\) with possibly nonlinear drift and diffusion coefficients. In a first part, we show that both coefficients are simultaneously uniquely determined by the observation of the expectation and variance of the process, during a small time interval, and starting from any values \(X_0\) in a given subset of \(\mathrm{I\!R}\). Then in a second part, we present some numerical simulations which illustrate that this type of observation can be used in practice to estimate the coefficients of a diffusion process.

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previous chapter Superexponential Stabilizability of Degenerate Parabolic Equations via Bilinear Control
next chapter On the Inverse Source Problem with Boundary Data at Many Wave Numbers
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Metadata
Title
Simultaneous Determination of Two Coefficients in Itô Diffusion Processes: Theoretical and Numerical Approaches
Authors
Michel Cristofol
Lionel Roques
Copyright Year
2020
Publisher
Springer Singapore
Book
Inverse Problems and Related Topics

Print ISBN: 978-981-15-1591-0

Electronic ISBN: 978-981-15-1592-7

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-981-15-1592-7_3

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