Estimation of parameters in mean-reverting stochastic systems

Estimation of parameters in mean-reverting stochastic systems

Stochastic differential equation (SDE) is a very important mathematical tool to describe complex systems in which noise plays an important role. SDE models have been widely used to study the dynamic properties of various nonlinear systems in biology, engineering, finance, and economics, as well as p...

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Bibliographic Details
Main Authors: Tian, T., Zhou, Y., Wu, Yong Hong, Ge, X.
Format: Journal Article
Published: Gordon and Breach 2014
Subjects:
mathematical tools
inference engines - Bayesian inference
dynamic property
Bayesian networks
estimation
physical science
stochastic differential equations
estimation of parameters
Markov chain Monte Carlo method
interest rate models
Online Access:http://hdl.handle.net/20.500.11937/31895

Internet

http://hdl.handle.net/20.500.11937/31895

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