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dc.contributor.authorTian, T.
dc.contributor.authorZhou, Y.
dc.contributor.authorWu, Yong Hong
dc.contributor.authorGe, X.
dc.date.accessioned2017-01-30T13:28:00Z
dc.date.available2017-01-30T13:28:00Z
dc.date.created2014-04-30T20:00:52Z
dc.date.issued2014
dc.identifier.citationTian, Tianhai and Zhou, Yanli and Wu, Yonghong and Ge, Xiangyu. 2014. Estimation of parameters in mean-reverting stochastic systems. Mathematical Problems in Engineering. 2014: (Article ID 317059): pp. 1-8.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/31895
dc.identifier.doi10.1155/2014/317059
dc.description.abstract

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.

dc.publisherGordon and Breach
dc.subjectmathematical tools
dc.subjectinference engines - Bayesian inference
dc.subjectdynamic property
dc.subjectBayesian networks
dc.subjectestimation
dc.subjectphysical science
dc.subjectstochastic differential equations
dc.subjectestimation of parameters
dc.subjectMarkov chain Monte Carlo method
dc.subjectinterest rate models
dc.titleEstimation of parameters in mean-reverting stochastic systems
dc.typeJournal Article
dcterms.source.volume2014
dcterms.source.startPage1
dcterms.source.endPage8
dcterms.source.issn1024123X
dcterms.source.titleMathematical Problems in Engineering
curtin.note

This article is published under the Open Access publishing model and distributed under the terms of the Creative Commons Attribution License http://creativecommons.org/licenses/by/3.0/. Please refer to the licence to obtain terms for any further reuse or distribution of this work.

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curtin.accessStatusOpen access


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