Download or read book Parameter Estimation in Stochastic Differential Equations written by Jaya P. N. Bishwal and published by Springer. This book was released on 2007-09-26 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods.
Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Download or read book Proceedings of the 24th IEEE Conference on Decision Control written by and published by . This book was released on 1985 with total page 726 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book SIAM Journal on Control and Optimization written by Society for Industrial and Applied Mathematics and published by . This book was released on 1993 with total page 854 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Partial Differential Equations and Diffusion Processes written by Russell Godding and published by . This book was released on 2018-11-22 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: In probability theory and statistics, a diffusion process is a solution to a stochastic differential equation. It is a continuous-time Markov process with almost surely continuous sample paths. Brownian motion, reflected Brownian motion and Ornstein-Uhlenbeck processes are examples of diffusion processes. A sample path of a diffusion process models the trajectory of a particle embedded in a flowing fluid and subjected to random displacements due to collisions with other particles, which is called Brownian motion. The position of the particle is then random; its probability density function as a function of space and time is governed by an advection-diffusion equation.
Download or read book Cybernetics Abstracts written by and published by . This book was released on 1986 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Identification of Parameters in Distributed Systems written by Raymond Eugene Goodson and published by . This book was released on 1974 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Semigroups of Operators Theory and Applications written by A.V. Balakrishnan and published by Birkhäuser. This book was released on 2012-12-06 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: These Proceedings comprise the bulk of the papers presented at the Inter national Conference on Semigroups of Opemtors: Theory and Contro~ held 14-18 December 1998, Newport Beach, California, U.S.A. The intent of the Conference was to highlight recent advances in the the ory of Semigroups of Operators which provides the abstract framework for the time-domain solutions of time-invariant boundary-value/initial-value problems of partial differential equations. There is of course a firewall between the ab stract theory and the applications and one of the Conference aims was to bring together both in the hope that it may be of value to both communities. In these days when all scientific activity is judged by its value on "dot com" it is not surprising that mathematical analysis that holds no promise of an immediate commercial product-line, or even a software tool-box, is not high in research priority. We are particularly pleased therefore that the National Science Foundation provided generous financial support without which this Conference would have been impossible to organize. Our special thanks to Dr. Kishan Baheti, Program Manager.
Download or read book Large Scale Scientific Computing written by Ivan Lirkov and published by Springer Nature. This book was released on 2020-02-13 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised papers from the 12th International Conference on Large-Scale Scientific Computing, LSSC 2019, held in Sozopol, Bulgaria, in June 2019. The 70 papers presented in this volume were carefully reviewed and selected from 81 submissions. The book also contains two invited talks. The papers were organized in topical sections named as follows: control and optimization of dynamical systems; meshfree and particle methods; fractional diffusion problems: numerical methods, algorithms and applications; pore scale flow and transport simulation; tensors based algorithms and structures in optimization and applications; HPC and big data: algorithms and applications; large-scale models: numerical methods, parallel computations and applications; monte carlo algorithms: innovative applications in conjunctions with other methods; application of metaheuristics to large-scale problems; large scale machine learning: multiscale algorithms and performance guarantees; and contributed papers.
Download or read book The Proceedings of the First International Conference on Advances in Communication Control Systems written by N. DeClaris and published by . This book was released on 1988 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Modelling in Physical Oceanography written by Robert Adler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of the ocean is almost as old as the history of mankind itself. When the first seafarers set out in their primitive ships they had to understand, as best they could, tides and currents, eddies and vortices, for lack of understanding often led to loss of live. These primitive oceanographers were, of course, primarily statisticians. They collected what empirical data they could, and passed it down, ini tially by word of mouth, to their descendants. Data collection continued throughout the millenia, and although data bases became larger, more re liable, and better codified, it was not really until surprisingly recently that mankind began to try to understand the physics behind these data, and, shortly afterwards, to attempt to model it. The basic modelling tool of physical oceanography is, today, the partial differential equation. Somehow, we all 'know" that if only we could find the right set of equations, with the right initial and boundary conditions, then we could solve the mysteries of ocean dynamics once and for all.
Download or read book Automatic Control written by International Federation of Automatic Control. World Congress and published by . This book was released on 1988 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Journal of Nutrition written by and published by . This book was released on 1967 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vols. 7-42 include the Proceedings of the annual meeting of the American Institute of Nutrition, 1st-9th, 11th-14th, 1934-1942, 1947-1950 (1st-8th, 1934-1941, issued as supplements to the journal).
Download or read book A New Method of Boundary Parameter Estimation for a Two dimensional Diffusion System Under Noisy Observations written by and published by . This book was released on 1987 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Referativny zhurnal written by and published by . This book was released on 1988 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt:
