Quantifying Model Uncertainties in Complex Systems
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Publication:2909986
DOI10.1007/978-3-0348-0097-6_15zbMath1288.37029arXiv0912.0280OpenAlexW106483033MaRDI QIDQ2909986
Publication date: 7 September 2012
Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.0280
parameter estimationmodel uncertaintyHurst parametercharacteristic exponentstochastic differential equations (SDEs)fractional Brownian motion (fBM)Brownian motion (BM)Lévy motion (LM)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Infinite-dimensional random dynamical systems; stochastic equations (37L55)
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