Estimation of parameters in mean-reverting stochastic systems

DOI10.1155/2014/317059zbMath1407.93376WikidataQ59065831 ScholiaQ59065831MaRDI QIDQ1718116

Tianhai Tian, Yan-Li Zhou, Xiang-Yu Ge, Yong-Hong Wu

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/317059

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E10: Estimation and detection in stochastic control theory

Uses Software

• BayesDA

Cites Work

• Simulation-based Bayesian estimation of an affine term structure model
• Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
• Estimating the parameters of stochastic differential equations
• The relative efficiency of method of moments estimators
• Parameter estimation in nonlinear stochastic differential equations
• Applying the EKF to stochastic differential equations with level effects
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Theory of the Term Structure of Interest Rates
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Approximate discrete-time schemes for statistics of diffusion processes
• Implicit Taylor methods for stiff stochastic differential equations
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