Estimation of parameters in mean-reverting stochastic systems
dc.contributor.author | Tian, T. | |
dc.contributor.author | Zhou, Y. | |
dc.contributor.author | Wu, Yong Hong | |
dc.contributor.author | Ge, X. | |
dc.date.accessioned | 2017-01-30T13:28:00Z | |
dc.date.available | 2017-01-30T13:28:00Z | |
dc.date.created | 2014-04-30T20:00:52Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Tian, 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.uri | http://hdl.handle.net/20.500.11937/31895 | |
dc.identifier.doi | 10.1155/2014/317059 | |
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.publisher | Gordon and Breach | |
dc.subject | mathematical tools | |
dc.subject | inference engines - Bayesian inference | |
dc.subject | dynamic property | |
dc.subject | Bayesian networks | |
dc.subject | estimation | |
dc.subject | physical science | |
dc.subject | stochastic differential equations | |
dc.subject | estimation of parameters | |
dc.subject | Markov chain Monte Carlo method | |
dc.subject | interest rate models | |
dc.title | Estimation of parameters in mean-reverting stochastic systems | |
dc.type | Journal Article | |
dcterms.source.volume | 2014 | |
dcterms.source.startPage | 1 | |
dcterms.source.endPage | 8 | |
dcterms.source.issn | 1024123X | |
dcterms.source.title | Mathematical 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 | |
curtin.department | ||
curtin.accessStatus | Open access |