搜索结果: 1-15 共查到“理论统计学 differential equations”相关记录19条 . 查询时间(0.266 秒)
Penalized importance sampling for parameter estimation in stochastic differential equations
Chronic wasting disease Euler-Maruyama scheme Maximum likelihood estimation Partially observed discrete sparse data Penalized importance sampling Stochastic di
2013/6/14
We consider the problem of estimating parameters of stochastic differential equations with discrete-time observations that are either completely or partially observed. The transition density between t...
Estimation in Systems of Ordinary Differential Equations Linear in the Parameters
local polynomials Lotka-Volterra nonparamet-ric regression ordinary differential equation plug-in estimators
2013/6/14
Many phenomena in biology, chemistry, physics, and engineering are modeled by a system of possibly nonlinear ordinary differential equations that are linear in their unknown constants. Current methods...
Statistical inference for discrete-time samples from affine stochastic delay differential equations
asymptotic normality composite likelihood consistency discrete time observation of continuous-time models prediction-based estimating functions pseudo-likelihood stochastic delay differential equation
2013/4/28
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to cal...
Bayesian Adaptive Smoothing Spline using Stochastic Differential Equations
Adaptive smoothing Markov chain Monte Carlo Smoothing spline Stochastic dierential equation
2012/11/22
The smoothing spline is one of the most popular curve-fitting methods, partly because of empirical evidence supporting its effectiveness and partly because of its elegant mathematical formulation. How...
A New Class of Backward Stochastic Partial Differential Equations with Jumps and Applications
Backward Stochastic Partial Differential Equations with Jumps High-Order Partial Differential Operator Vector Partial Differential Equation Existence and Uniqueness Random Environment
2011/6/21
We formulate a new class of stochastic partial differential equations (SPDEs), named
high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order
integral-partial differential o...
Asymptotic admissibility of priors and elliptic differential equations
Asymptotic admissibility priors elliptic differential equations
2010/3/11
We evaluate priors by the second order asymptotic behaviour of the
corresponding estimators. Under certain regularity conditions, the risk di erences
between ecient estimators of parameters taking ...
Asymptotic efficiency and finite-sample properties of the generalized profiling estimation of parameters in ordinary differential equations
Ordinary differential equations parameters estimation profiling procedure consistency asymptotic normality
2010/3/18
Ordinary differential equations (ODEs) are commonly used to
model dynamic behavior of a system. Because many parameters are
unknown and have to be estimated from the observed data, there
is growing...
Free boundary problem for controlled stochastic differential equations
Free boundary problem controlled stochastic differential equations
2009/9/24
Free boundary problem for controlled stochastic differential equations。
On the approximation theorem of the Wong-Zakai type for the functional stochastic differential equations
the approximation theorem the Wong-Zakai type the functional stochastic differential equations
2009/9/23
On the approximation theorem of the Wong-Zakai type for the functional stochastic differential equations。
Existence theorem and Wong-Zakai approximations for multivalued stochastic differential equations
Existence theorem Wong-Zakai approximations multivalued stochastic differential equations
2009/9/22
We consider finite-dimensional multivalued stochastic
differential equations where the drift has a multivalued and monotone
term. Existence and approximation results are obtained by an existence
th...
Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
Backward stochastic differential equation Infinite horizon Reflected barriers
2009/9/22
We prove existence and uniqueness results of the solution
for infinite horizon reflected backward stochastic differential equations
with one or two barriers. We also apply these results to get the
...
Almost sure and moment stability of stochastic partial differential equations
Stochastic partial differenflal equation almost sure stability moment stability
2009/9/21
We study thc almost sure and moment srabilily of
a claxs of srachnstic partial diflerential t?quations and we present an
ioFmite4imansiond vesion of a theorem proved fix stochmastic ordinary
diffcr...
A logarithmic Sobolev inequality for one-dimensional multivalued stochastic differential equations
A logarithmic Sobolev inequality one-dimensional multivalued stochastic differential equations
2009/9/21
We establish a logarithmic Sobolev inequality for a one-
-dimensional multivalued stochastic differential equation associated with
the subdillerential of a convex lower semicontinuous function, usin...
DISCRETE APPROXIMATIONS OF REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM TERMINAL TIME
Reflected backward stochastic differential equations random terminal time discrete approximation methods
2009/9/18
We study convergence of discrete approximations of reflected
backward stochastic differential equations with random terminal
time in a general convex domain. Applications to investigation of the via...
Stochastic differential equations with jumps
stochastic differential equations jumps martingale problems pathwise uniqueness Harnack inequality
2009/5/18
This paper is a survey of uniqueness results for stochastic differential equations with jumps and regularity results for the corresponding harmonic functions.