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Estimation of Parameters in Mean-Reverting Stochastic Systems
Joint Authors
Tian, Tianhai
Wu, Yong Hong
Zhou, Yanli
Ge, Xiangyu
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-16
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
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 physical sciences.
Since a SDE can generate unlimited numbers of trajectories, it is difficult to estimate model parameters based on experimental observations which may represent only one trajectory of the stochastic model.
Although substantial research efforts have been made to develop effective methods, it is still a challenge to infer unknown parameters in SDE models from observations that may have large variations.
Using an interest rate model as a test problem, in this work we use the Bayesian inference and Markov Chain Monte Carlo method to estimate unknown parameters in SDE models.
American Psychological Association (APA)
Tian, Tianhai& Zhou, Yanli& Wu, Yong Hong& Ge, Xiangyu. 2014. Estimation of Parameters in Mean-Reverting Stochastic Systems. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-462961
Modern Language Association (MLA)
Tian, Tianhai…[et al.]. Estimation of Parameters in Mean-Reverting Stochastic Systems. Mathematical Problems in Engineering No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-462961
American Medical Association (AMA)
Tian, Tianhai& Zhou, Yanli& Wu, Yong Hong& Ge, Xiangyu. Estimation of Parameters in Mean-Reverting Stochastic Systems. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-462961
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-462961