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  • Search: subject:"Ito's stochastic integral"
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Chi-squared goodness-of-fit statistic 1 Gamma function 1 Ito's stochastic integral 1 Stochastic differential equations 1 Wiener process 1
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Lindsay, K.A. 1 Stan Hurn, A. 1
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Mathematics and Computers in Simulation (MATCOM) 1
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Estimating the parameters of stochastic differential equations by Monte Carlo methods
Stan Hurn, A.; Lindsay, K.A. - In: Mathematics and Computers in Simulation (MATCOM) 43 (1997) 3, pp. 495-501
We propose a method for the simultaneous estimation of the drift and diffusion coefficients of stochastic differential equations (SDE) from panel data. The method involves matching the distribution of the experimental/field data with a panel of simulated data generated by a Monte Carlo...
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