Mathematics – Numerical Analysis
Scientific paper
2009-12-01
Progress in Probability, 2010
Mathematics
Numerical Analysis
28 pates, 14 figures
Scientific paper
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 $\alpha$.
Duan Jinqiao
Yang Jia-rui
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