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There is a vast literature [4, 8, 9] on estimating parameters of short rate models in finance. One popular approach is to take a short rate model that leads to an exponential-affine expression forâ€¦ (More)

We consider a slight perturbation of the Hull-White short rate model and the resulting modified forward rate equation. We identify the model coefficients by using the martingale property of theâ€¦ (More)

- Shin Ichi Aihara, Yoshifumi Sunahara
- 26th IEEE Conference on Decision and Control
- 1987

The identification of an infinite dimensional unknown parameter for stochastic diffusion equations is considered. After showing sufficient conditions for the existence of the maximum likelihoodâ€¦ (More)

With the rapid progress in the study of flexible structures, identification and control of hyperbolic systems have become increasingly important. Although parameter identification for infiniteâ€¦ (More)

Despite the success of particle filter, there are two factors which cause difficulties in its implementation. The first one is the choice of importance functions commonly used in the literature whichâ€¦ (More)

- Shin Ichi Aihara, Arunabha Bagchi
- 1985 American Control Conference
- 1985

A nonlinear filtering problem where the signal is the solution of a nonlinear stochastic variational inequality is investigated. The finitely additive white noise framework is used to model theâ€¦ (More)

- Shin Ichi Aihara, A. Bagchi
- Proceedings of the 44th IEEE Conference onâ€¦
- 2005

We consider the dynamics of forward rate process which is modeled by the parabolic type infinite-dimensional factor model with stochastic volatility. Before using this model to the portfolioâ€¦ (More)

- Shin Ichi Aihara
- 2003

Stochastic nonlinear elliptic partial differential equations with white noise disturbances are studied in the countably additive measure set up. Introducing the Onsager-Machlup function to the systemâ€¦ (More)

- Shin Ichi Aihara, Masaaki Ishikawa, Yoshifumi Sunahara
- 1986 25th IEEE Conference on Decision and Control
- 1986

This paper is concerned with the optimal control for stochastic one phase Stefan problem where the cost functional is quadratic with respect to the state and control. One phase Stefan problem withâ€¦ (More)

- Shin Ichi Aihara, Yoshifumi Sunahara
- 26th IEEE Conference on Decision and Control
- 1987

We study the optimal control problem where the system is modeled by a stochastic variational in equality with obstacle for the quadratic cost functional with respect to the state and controlâ€¦ (More)