Quantifying Model Uncertainties in Complex Systems (Q2909986)

scientific article

Language	Label	Description	Also known as
English	Quantifying Model Uncertainties in Complex Systems	scientific article

Statements

instance of

scholarly article

0 references

title

Quantifying Model Uncertainties in Complex Systems (English)

0 references

zbMATH Open document ID

1288.37029

0 references

DOI

10.1007/978-3-0348-0097-6_15

0 references

0 references

0 references

Stochastic Analysis with Financial Applications

0 references

publication date

7 September 2012

0 references

full work available at URL

https://arxiv.org/abs/0912.0280

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

model uncertainty

0 references

parameter estimation

0 references

Brownian motion (BM)

0 references

fractional Brownian motion (fBM)

0 references

Lévy motion (LM)

0 references

Hurst parameter

0 references

characteristic exponent

0 references

stochastic differential equations (SDEs)

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

0 references

Estimators of diffusions with randomly spaced discrete observations: a general theory

0 references

The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions

0 references

Invariant measures and symmetry property of Lévy type operators

0 references

Lévy Processes and Stochastic Calculus

0 references

Q4210478

0 references

Q2716350

0 references

An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.

0 references

Q4865042

0 references

Q4223075

0 references

Q3292891

0 references

Pattern formation below criticality forced by noise

0 references

Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

0 references

A stochastic pitchfork bifurcation in a reaction-diffusion equation

0 references

Q3581693

0 references

Power variation of some integral fractional processes

0 references

A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes

0 references

Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

0 references

Additive noise destroys a pitchfork bifurcation

0 references

Estimation of the coefficients of a diffusion from discrete observations

0 references

Stochastic Equations in Infinite Dimensions

0 references

Pricing weather derivatives by marginal value

0 references

Q5822308

0 references

A Stochastic Approach for Parameterizing Unresolved Scales in a System with Memory

0 references

Stochastic modeling of unresolved scales in complex systems

0 references

Canonical Sample Spaces for Random Dynamical Systems

0 references

Stochastic parameterization for large eddy simulation of geophysical flows

0 references

On estimating the diffusion coefficient

0 references

Likelihood Inference for Discretely Observed Nonlinear Diffusions

0 references

Parameter Estimates for Symmetric Stable Distributions

0 references

Approximate discrete-time schemes for statistics of diffusion processes

0 references

Q4266081

0 references

On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

0 references

Q4311643

0 references

Parameter estimation for discretely observed stochastic volatility models

0 references

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

0 references

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

0 references

Q3581697

0 references

Quasi-likelihood and its application. A general approach to optimal parameter estimation

0 references

Noise-induced transitions. Theory and applications in physics, chemistry, and biology

0 references

Quasi-likelihood estimation for semimartingales

0 references

Q3920437

0 references

Q3992729

0 references

MODEL REDUCTION AND STOCHASTIC RESONANCE

0 references

First exit times of SDEs driven by stable Lévy processes

0 references

First exit times for Lévy-driven diffusions with exponentially light jumps

0 references

Parametric inference for discretely observed non-ergodic diffusions

0 references

Stochastic modelling: replacing fast degrees of freedom by noise

0 references

Q4002114

0 references

Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process

0 references

Q3566784

0 references

Parameter estimation and optimal filtering for fractional type stochastic systems

0 references

Statistical analysis of the fractional Ornstein--Uhlenbeck type process

0 references

Q5313290

0 references

Q4247109

0 references

Regression-Type Estimation of the Parameters of Stable Laws

0 references

Q5700325

0 references

Density parameter estimation of skewed α-stable distributions

0 references

Parameter estimation for diffusion type processes of observation

0 references

Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion

0 references

Q4145232

0 references

Q4139359

0 references

Synchronization of systems of Marcus canonical equations driven by \(\alpha \)-stable noises

0 references

Long-Term Memory in Stock Market Prices

0 references

Fractional Brownian Motions, Fractional Noises and Applications

0 references

Random Dynamical Systems and Stationary Solutions of Differential Equations Driven by the Fractional Brownian Motion

0 references

Simple consistent estimators of stable distribution parameters

0 references

Stochastic calculus for fractional Brownian motion and related processes.

0 references

On the absolute continuity of Lévy processes with drift

0 references

An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

0 references

Q4811448

0 references

Applied stochastic control of jump diffusions.

0 references

Stochastic differential equations. An introduction with applications.

0 references

Stochastic Calculus for Fractional Brownian Motion and Applications

0 references

Q5106576

0 references

Q3223595

0 references

Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes

0 references

Stochastic Partial Differential Equations with Levy Noise

0 references

Q4947392

0 references

Q4264747

0 references

Q4828192

0 references

Estimation in Univariate and Multivariate Stable Distributions

0 references

Estimation of a time series model from unequally spaced data

0 references

Q4937701

0 references

Fractional Fokker–Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises

0 references

Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994

0 references

On asymptotics of estimating functions

0 references

Q3862204

0 references

ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY

0 references

Q4748912

0 references

Probability and partial differential equations in modern applied mathematics. Selected papers presented at the 2003 IMA summer program, Minneapolis, MN, USA, July 21 -- August 1, 2003

0 references

Q3334692

0 references

Q2738731

0 references

Correlation theory of processes with random stationary 𝑛th increments

0 references

AN INTERMEDIATE REGIME FOR EXIT PHENOMENA DRIVEN BY NON-GAUSSIAN LÉVY NOISES

0 references

Estimation for diffusion processes from discrete observation

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2909986