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Asymptotic Parameter Estimation Theory For Stochastic Differential Equations Microform
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Book Synopsis Asymptotic Parameter Estimation Theory for Stochastic Differential Equations [microform] by : Raphael Abel Kasonga
Download or read book Asymptotic Parameter Estimation Theory for Stochastic Differential Equations [microform] written by Raphael Abel Kasonga and published by National Library of Canada. This book was released on 1986 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Parameter Estimation in Stochastic Differential Equations by : Jaya P. N. Bishwal
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.
Book Synopsis Asymptotic Parameter Estimation Theory for Stochastic Differential Equations by : Raphael Abel Kasonga
Download or read book Asymptotic Parameter Estimation Theory for Stochastic Differential Equations written by Raphael Abel Kasonga and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymptotic Methods in the Theory of Stochastic Differential Equations by : A. V. Skorokhod
Download or read book Asymptotic Methods in the Theory of Stochastic Differential Equations written by A. V. Skorokhod and published by American Mathematical Soc.. This book was released on 2009-01-07 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the foremost Soviet experts in the field, this book is intended for specialists in the theory of random processes and its applications. The author's 1982 monograph on stochastic differential equations, written with Iosif Ilich Gikhman, did not include a number of topics important to applications. The present work begins to fill this gap by investigating the asymptotic behavior of stochastic differential equations. The main topics are ergodic theory for Markov processes and for solutions of stochastic differential equations, stochastic differential equations containing a small parameter, and stability theory for solutions of systems of stochastic differential equations.
Book Synopsis Asymptotic Methods in the Theory of Stochastic Differential Equations by : A. V. Skorokhod
Download or read book Asymptotic Methods in the Theory of Stochastic Differential Equations written by A. V. Skorokhod and published by American Mathematical Soc.. This book was released on 2009-01-07 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ergodic theorems: General ergodic theorems Densities for transition probabilities and resolvents for Markov solutions of stochastic differential equations Ergodic theorems for one-dimensional stochastic equations Ergodic theorems for solutions of stochastic equations in $R^d$ Asymptotic behavior of systems of stochastic equations containing a small parameter: Equations with a small right-hand side Processes with rapid switching Averaging over variables for systems of stochastic differential equations Stability. Linear systems: Stability of sample paths of homogeneous Markov processes Linear equations in $R^d$ and the stochastic semigroups connected with them. Stability Stability of solutions of stochastic differential equations Linear stochastic equations in Hilbert space. Stochastic semigroups. Stability: Linear equations with bounded coefficients Strong stochastic semigroups with second moments Stability Bibliography
Book Synopsis Parameter Estimation in Stochastic Volatility Models by : Jaya P. N. Bishwal
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.
Book Synopsis Asymptotic Properties of Parameter Estimation for Differential Equations by : Peisi Yan
Download or read book Asymptotic Properties of Parameter Estimation for Differential Equations written by Peisi Yan and published by . This book was released on 2011 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Estimation of Stochastic Differential Equations by : Riccardo Cesari
Download or read book On the Estimation of Stochastic Differential Equations written by Riccardo Cesari and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymptotic Analysis for Functional Stochastic Differential Equations by : Jianhai Bao
Download or read book Asymptotic Analysis for Functional Stochastic Differential Equations written by Jianhai Bao and published by Springer. This book was released on 2016-11-19 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity.This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.
Author :Anatoliĭ Vladimirovich Skorokhod Publisher :Amer Mathematical Society ISBN 13 :9780821845318 Total Pages :339 pages Book Rating :4.8/5 (453 download)
Book Synopsis Asymptotic Methods in the Theory of Stochastic Differential Equations by : Anatoliĭ Vladimirovich Skorokhod
Download or read book Asymptotic Methods in the Theory of Stochastic Differential Equations written by Anatoliĭ Vladimirovich Skorokhod and published by Amer Mathematical Society. This book was released on 1989 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Methods for Stochastic Differential Equations by : Mathieu Kessler
Download or read book Statistical Methods for Stochastic Differential Equations written by Mathieu Kessler and published by CRC Press. This book was released on 2012-05-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research. The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions. Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
Book Synopsis Bauablauf, Kosten, Störungen by : Hermann Bauer
Download or read book Bauablauf, Kosten, Störungen written by Hermann Bauer and published by . This book was released on 1994 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Parameter Estimation for Stochastic Processes by : Yu. A. Kutoyants
Download or read book Parameter Estimation for Stochastic Processes written by Yu. A. Kutoyants and published by . This book was released on 1984 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Approximation and Recursive Estimation by : M. B. Nevel'son
Download or read book Stochastic Approximation and Recursive Estimation written by M. B. Nevel'son and published by American Mathematical Soc.. This book was released on 1976-10-01 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to sequential methods of solving a class of problems to which belongs, for example, the problem of finding a maximum point of a function if each measured value of this function contains a random error. Some basic procedures of stochastic approximation are investigated from a single point of view, namely the theory of Markov processes and martingales. Examples are considered of applications of the theorems to some problems of estimation theory, educational theory and control theory, and also to some problems of information transmission in the presence of inverse feedback.
Book Synopsis Asymptotic Theory for process least squares estimators for diffusion processes by : B. L. S. Prakasa Rao
Download or read book Asymptotic Theory for process least squares estimators for diffusion processes written by B. L. S. Prakasa Rao and published by . This book was released on 1979 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Strong consistency and asymptotic normality of an estimator related to least squares estimator for parameters involved in nonlinear stochastic differential equations are investigated by studying families of stochastic integrals using Fourier analytic methods. (Author).
Download or read book Canadiana written by and published by . This book was released on 1989 with total page 812 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two-Scale Stochastic Systems by : Yuri Kabanov
Download or read book Two-Scale Stochastic Systems written by Yuri Kabanov and published by . This book was released on 2014-01-15 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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