Parameter Estimation in Stochastic Differential Equations

Parameter Estimation in Stochastic Differential Equations

by Jaya P. N. Bishwal
     
 

Parameter estimation in shastic differential equations and shastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and

Overview

Parameter estimation in shastic differential equations and shastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods.

Editorial Reviews

From the Publisher
From the reviews:

"This book deals with a variety of statistical inference problems for shastic differential equations … . In each chapter the author starts with useful introductory notes clearly describing the specific models and the problems. … A series of interesting and well commented examples are provided as an illustration. … Among the readers who can benefit from this carefully written book are researchers and postgraduate students in shastic modelling; especially those working in areas such as physics, engineering, biology and finance." (Jordan M. Stoyanov, Zentralblatt MATH, Vol. 1134 (12), 2008)

Product Details

ISBN-13:
9783540744474
Publisher:
Springer Berlin Heidelberg
Publication date:
11/09/2007
Series:
Lecture Notes in Mathematics Series , #1923
Edition description:
2008
Pages:
268
Product dimensions:
6.10(w) x 9.20(h) x 0.70(d)

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