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Estimating Stochastic Dynamical Systems Driven by a Continuous-Time Jump Markov Process

Abstract : We discuss the use of a continuous-time jump Markov process as the driving process in stochastic differential systems. Results are given on the estimation of the infinitesimal generator of the jump Markov process, when considering sample paths on random time intervals. These results are then applied within the framework of stochastic dynamical systems modeling and estimation. Numerical examples are given to illustrate both consistency and asymptotic normality of the estimator of the infinitesimal generator of the driving process. We apply these results to fatigue crack growth modeling as an example of a complex dynamical system, with applications to reliability analysis.
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Julien Chiquet, Nikolaos Limnios. Estimating Stochastic Dynamical Systems Driven by a Continuous-Time Jump Markov Process. Methodology and Computing in Applied Probability, Springer Verlag, 2006, 8 (4), pp.431-447. ⟨10.1007/s11009-006-0423-z⟩. ⟨cea-02360117⟩

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