Estimation of parameters in mean-reverting stochastic systems

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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

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