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Stochastic differential equations an...

Cheng, Chang-Hua.

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Stochastic differential equations and the method of sieves.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic differential equations and the method of sieves./
Author:	Cheng, Chang-Hua.
Description:	37 p.
Notes:	Source: Masters Abstracts International, Volume: 42-03, page: 0948.
Contained By:	Masters Abstracts International42-03.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1416541
ISBN:	0496213261

Stochastic differential equations and the method of sieves.
Cheng, Chang-Hua.

Stochastic differential equations and the method of sieves. - 37 p.

Source: Masters Abstracts International, Volume: 42-03, page: 0948.

Thesis (M.S.)--University of Southern California, 2003.

The time-dependent drift coefficient in a stochastic differential equation is estimated from the observations of the solution of the equation on a finite time interval. A linear non-stationary diffusion and a stochastic heat equation are considered. The estimator is a finite linear combination of cosine functions. While the existing theoretical results guarantee the convergence of the estimator to the actual drift coefficient, such results provide no information about performance of individual realizations of the estimator. With the help of computer simulations, it is shown in the current work that individual realizations of the estimator are sensitive to the initial condition of the observation process, and the performance of the estimator can be improved by increasing the initial condition. In the case of the stochastic heat equation, the performance of the estimator also depends on the size of the spatial domain.

ISBN: 0496213261Subjects--Topical Terms:

515831
Mathematics.

Stochastic differential equations and the method of sieves.
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008 130614s2003 eng d
020 $a 0496213261
035 $a (UnM)AAI1416541
035 $a AAI1416541
040 $a UnM $c UnM
100 1 $a Cheng, Chang-Hua. $3 1934192
245 1 0 $a Stochastic differential equations and the method of sieves.
300 $a 37 p.
500 $a Source: Masters Abstracts International, Volume: 42-03, page: 0948.
500 $a Adviser: Sergey Lototsky.
502 $a Thesis (M.S.)--University of Southern California, 2003.
520 $a The time-dependent drift coefficient in a stochastic differential equation is estimated from the observations of the solution of the equation on a finite time interval. A linear non-stationary diffusion and a stochastic heat equation are considered. The estimator is a finite linear combination of cosine functions. While the existing theoretical results guarantee the convergence of the estimator to the actual drift coefficient, such results provide no information about performance of individual realizations of the estimator. With the help of computer simulations, it is shown in the current work that individual realizations of the estimator are sensitive to the initial condition of the observation process, and the performance of the estimator can be improved by increasing the initial condition. In the case of the stochastic heat equation, the performance of the estimator also depends on the size of the spatial domain.
590 $a School code: 0208.
650 4 $a Mathematics. $3 515831
690 $a 0405
710 2 0 $a University of Southern California. $3 700129
773 0 $t Masters Abstracts International $g 42-03.
790 1 0 $a Lototsky, Sergey, $e advisor
790 $a 0208
791 $a M.S.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1416541