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Parameter identification for deterministic and stochastic differential equations using the "collage method" for fixed point equations

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Listed:
  • Vincenzo CAPASSO

    ()

  • Herb E. KUNZE

    ()

  • Davide LA TORRE

    ()

  • Edward R. VRSCAY

    ()

Abstract

A number of inverse problems may be viewed in terms of the approximation of a target element x in a complete metric space (X,d) by the fixed point x* of a contraction function T : X -> X. In practice, from a family of contraction functions T(a) one wishes to find the parameter a for which the approximation error d(x,x*(a)) is as small as possible. Thanks to a simple consequence of Banach's fixed point theorem known as the Collage Theorem, most practical methods of solving the inverse problem for fixed point equations seek to find an operator T(a) for which the so called collage distance d(x,T(a)x) is as small as possible. We first show how to solve inverse problems for deterministic and random differential equations and then we switch to the analysis of stochastic differential equations. Here inverse problems can be solved by minimizing the collage distance in an appropriate metric space. At the end we show an application of this approach to a system of coupled stochastic differential equations which describes the interaction between particles in a physical system

Suggested Citation

  • Vincenzo CAPASSO & Herb E. KUNZE & Davide LA TORRE & Edward R. VRSCAY, 2008. "Parameter identification for deterministic and stochastic differential equations using the "collage method" for fixed point equations," Departmental Working Papers 2008-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  • Handle: RePEc:mil:wpdepa:2008-08
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    File URL: http://wp.demm.unimi.it/files/wp/2008/DEMM-2008_008wp.pdf
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    References listed on IDEAS

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    1. Herb E. KUNZE & Davide LA TORRE & Edward R. VRSCAY, 2008. "From iterated function systems to iterated multifunction systems," Departmental Working Papers 2008-39, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    2. Davide La Torre & Herb Kunze & Edward Vrscay, 2006. "Random fixed point equations and inverse problems by collage theorem," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1030, Universitá degli Studi di Milano.
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    Keywords

    Inverse problems; stochastic differential equations; fixed point equations; Monge-Kantorovich distance; Wasserstein metric; Collage Theorem;

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