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A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter >1/2
Linear stochastic differential equation Fractional Brownian motion Stochastic calculus Ito formula
2011/9/15
Abstract: Given a fractional Brownian motion \,\,$(B_{t}^{H})_{t\geq 0}$,\, with Hurst parameter \,$> 1/2$\,\,we study the properties of all solutions of \,\,: {equation} X_{t}=B_{t}^{H}+\int_0^t X_{u...
Nonparametric model reconstruction for stochastic differential equation from discretely observed time-series data
Nonparametric model reconstruction stochastic differential equation discretely observed time-series data
2011/8/2
Abstract: We develop a scheme for estimating state-dependent drift and diffusion coefficients in a stochastic differential equation from a time-series data. There is no need to have any prior knowledg...