Quantifying Model Uncertainties in Complex Systems

DOI10.1007/978-3-0348-0097-6_15zbMATH Open1288.37029OpenAlexW106483033MaRDI QIDQ2909986FDOQ2909986

Authors: Jiarui Yang, Jinqiao Duan 

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Abstract: Uncertainties are abundant in complex systems. Mathematical models for these systems thus contain random effects or noises. The models are often in the form of stochastic differential equations, with some parameters to be determined by observations. The stochastic differential equations may be driven by Brownian motion, fractional Brownian motion or L'evy motion. After a brief overview of recent advances in estimating parameters in stochastic differential equations, various numerical algorithms for computing parameters are implemented. The numerical simulation results are shown to be consistent with theoretical analysis. Moreover, for fractional Brownian motion and $alpha-$stable L'evy motion, several algorithms are reviewed and implemented to numerically estimate the Hurst parameter $H$ and characteristic exponent $alpha$.

Full work available at URL: https://arxiv.org/abs/0912.0280

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zbMATH Keywords

parameter estimationmodel uncertaintyHurst parametercharacteristic exponentstochastic differential equations (SDEs)fractional Brownian motion (fBM)Brownian motion (BM)Lévy motion (LM)

Mathematics Subject Classification ID

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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Cited In (12)

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