Parameter estimation in uncertain differential equations with exponential solutions

2020 ◽  
Vol 39 (3) ◽  
pp. 3795-3804
Author(s):  
Zhiming Li ◽  
Mingyao Ai ◽  
Shuman Sun
Keyword(s):  
Parameter Estimation ◽  
Differential Equations ◽  
Estimation Problem ◽  
Observation Data ◽  
Unknown Parameters ◽  
Uncertainty Distribution ◽  
Discrete Observation ◽  
The Third ◽  
Explicit Expressions

This paper proposes three methods to estimate the parameters in uncertain differential equations (UDEs) based on discrete observation data. The first method is designed for a class of UDEs in which their solutions have the explicit expressions of uncertainty distribution. The second method is given to solve the estimation problem through the inverse uncertainty distribution. In the third method, the unknown parameters of UDEs are estimated by the solution of the corresponding α-path. These methods are interpreted to be efficient and practical by using a popular UDE with exponential solutions and obtaining the detailed estimators of the parameters.

scholarly journals Parameter estimation in a Black Scholes

2018 ◽  
Vol 22 (Suppl. 1) ◽  
pp. 117-122
Author(s):  
Mustafa Bayram ◽  
Buyukoz Orucova ◽  
Tugcem Partal
Keyword(s):  
Parameter Estimation ◽  
Maximum Likelihood ◽  
Parametric Method ◽  
Estimation Method ◽  
Parametric Estimation ◽  
Likelihood Method ◽  
Observation Data ◽  
Unknown Parameters ◽  
Black Scholes ◽  
Non Parametric

In this paper we discuss parameter estimation in black scholes model. A non-parametric estimation method and well known maximum likelihood estimator are considered. Our aim is to estimate the unknown parameters for stochastic differential equation with discrete time observation data. In simulation study we compare the non-parametric method with maximum likelihood method using stochastic numerical scheme named with Euler Maruyama.

scholarly journals Parameter Estimation for Partial Differential Equations by Collage-Based Numerical Approximation

2009 ◽  
Vol 2009 ◽  
pp. 1-14
Author(s):  
Xiaoyan Deng ◽  
Qingxi Liao
Keyword(s):  
Inverse Problem ◽  
Parameter Estimation ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Minimization Problem ◽  
Engineering Practice ◽  
Unknown Parameters ◽  
Partial Differential ◽  
Excellent Starting Point ◽  
Starting Point

The inverse problem of using measurements to estimate unknown parameters of a system often arises in engineering practice and scientific research. This paper proposes a Collage-based parameter inversion framework for a class of partial differential equations. The Collage method is used to convert the parameter estimation inverse problem into a minimization problem of a function of several variables after the partial differential equation is approximated by a differential dynamical system. Then numerical schemes for solving this minimization problem are proposed, including grid approximation and ant colony optimization. The proposed schemes are applied to a parameter estimation problem for the Belousov-Zhabotinskii equation, and the results show that the proposed approximation method is efficient for both linear and nonlinear partial differential equations with respect to unknown parameters. At worst, the presented method provides an excellent starting point for traditional inversion methods that must first select a good starting point.

Boundary-Value Problems for Third-Order Lipschitz Ordinary Differential Equations

2014 ◽  
Vol 58 (1) ◽  
pp. 183-197 ◽  
Author(s):  
John R. Graef ◽  
Johnny Henderson ◽  
Rodrica Luca ◽  
Yu Tian
Keyword(s):  
Differential Equation ◽  
Differential Equations ◽  
Ordinary Differential Equations ◽  
Boundary Value Problems ◽  
Order Differential Equation ◽  
Boundary Value ◽  
Point Boundary ◽  
Third Order ◽  
Optimal Length ◽  
The Third

AbstractFor the third-order differential equationy′″ = ƒ(t, y, y′, y″), where, questions involving ‘uniqueness implies uniqueness’, ‘uniqueness implies existence’ and ‘optimal length subintervals of (a, b) on which solutions are unique’ are studied for a class of two-point boundary-value problems.

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