$Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method$

Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method

© 2016 by the Mathematical Association of Thailand. All rights reserved. A Bayesian method is proposed for the parameter identification of a stock market dynamics which is modeled by a Stochastic Differential Equation (SDE) driven by fractional Brownian motion (fBm). The formulation for the identifi...

Saved in:

書目詳細資料
Main Authors:	Harnpornchai N., Autchariyapanitkul K.
格式:	雜誌
出版:	2017
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008312164&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42446
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

相似書籍

Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method
由: N. Harnpornchai, et al.
出版: (2018)

Logistic stochastic differential equation driven by fractional brownian motion
由: Thanayuth Promkong
出版: (2024)

Boundedness and stability analysis for impulsive stochastic differential equations driven by G-Brownian motion
由: Liguang Xu, et al.
出版: (2019)

Stochastic Calculus for Fractional Brownian Motion and Applications
由: Zhang, T., et al.
出版: (2017)

On the optimal forecast with the fractional Brownian motion
由: WANG, Xiaohu, et al.
出版: (2022)

On the optimal forecast with the fractional Brownian motion
由: WANG, Xiaohu, et al.
出版: (2024)

PARAMETER ESTIMATION ON FRACTIONAL BROWNIAN MOTION
由: LI DAN
出版: (2015)

Application of drifted Brownian motion in dynamic pricing of constant function market makers
由: Peng, Jiajun
出版: (2024)

STOCK PRICING USING STOCHASTIC DIFFERENTIAL EQUATIONS
由: HARTANTO (NIM : 10109022);Pembimbing: Jalina Widjaja, Ph.D ; Yudi Soeharyadi, Ph.D, ADRIAN

Stock Pricing using Stochastic Differential Equations
由: HARTANTO (NIM : 10109022); Pembimbing : Jalina Widjaja, Ph.D; Yudi Soeharyadi, Ph.D, ADRIAN

Aspects of Brownian motion
由: Mansuy, Roger, et al.
出版: (2017)

Branching Brownian Motions
由: SHEN JINGYUN
出版: (2013)

Generalised polynomial chaos approximation for stochastic fractional partial differential equations
由: Teh, Yu Xuan
出版: (2023)

Stochastic flows in the Brownian web and net
由: Schertzer, E., et al.
出版: (2014)

On Quantiles of Brownian Motion and Quantile Options
由: ZHU YONGTING
出版: (2011)

Theoretical study of Brownian motion in liquid
由: Rachai Prakobkarn
出版: (1987)

STOCHASTIC DIFFERENTIAL EQUATIONS
由: LAU PUI MAN
出版: (2021)

STOCHASTIC CALCULUS AND STOCHASTIC DIFFERENTIAL EQUATIONS
由: WANG YU
出版: (2021)

STOCHASTIC CALCULUS & STOCHASTIC DIFFERENTIAL EQUATIONS
由: XU JIAWEI
出版: (2021)

STOCHASTIC CALCULUS AND STOCHASTIC DIFFERENTIAL EQUATIONS
由: XU LIZHEN
出版: (2021)

STOCHASTIC CALCULUS AND STOCHASTIC DIFFERENTIAL EQUATION
由: YEO LYNN
出版: (2021)

STOCHASTIC CALCULUS AND STOCHASTIC DIFFERENTIAL EQUATIONS
由: IVANA CHANG CHEE LENG
出版: (2021)

STOCHASTIC CALCULUS AND STOCHASTIC DIFFERENTIAL EQUATIONS
由: SHEN RONG
出版: (2021)

Numerical methods for fractional differential equations
由: Li, Xuhao
出版: (2018)

NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
由: FAN RUILIN
出版: (2021)

SIMULATIONS ON THE BROWNIAN MOTION OF UPCONVERSION NANOPARTICLES IN FLUID
由: HAO XIANGLIN
出版: (2016)

Quantum Brownian motion by path integral mothod
由: Supitch Khemmani
出版: (1999)

On the oscillation of fractional differential equations
由: Grace, Said R., et al.
出版: (2013)

STOCHASTIC MESH METHODS FOR HIGH DIMENSIONAL BACKWARD STOCHASTIC DIFFERENTIAL EQUATION
由: YUAN PENG
出版: (2016)

The ring of brownian motion: The good, the bad and the simply silly
由: Hanggi, P.
出版: (2014)

Comparison of the methods for the calculation of fractional-order differential equations
由: Dorčák, L'ubomír, et al.
出版: (2018)

Parameter Estimation in Stochastic Differential Equations
由: Bishwal, Jaya P. N.
出版: (2017)

NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATIONS
由: LUI RONG HUA
出版: (2021)

Numerical treatment of certain fractional and non-fractional differential equations
由: Ding, Qinxu
出版: (2020)

Symmetric solutions for hybrid fractional differential equations
由: Jessada Tariboon, et al.
出版: (2018)

Symmetric solutions for hybrid fractional differential equations
由: Jessada Tariboon, et al.
出版: (2018)

Symmetric solutions for hybrid fractional differential equations
由: Tariboon J., et al.
出版: (2017)

A Minicourse on Stochastic Partial Differential Equations
由: Robert Dalang, Davar Khoshnevisan, Carl Mueller, David Nualart, Yimin Xiao ; edited by J. -M. Morel, F. Takens, B. Teissier, Davar Khoshnevisan, Firas Rassoul-Agha
出版: (2017)

Stochastic differential equation with jumps for tilapia population
由: Kanitin Sukchum
出版: (2019)

Security enhancement for OFDM-PON using Brownian motion and chaos in cell
由: Wu, Tingwei, et al.
出版: (2019)