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- W2757902616 abstract "A parametric identification problem for stochastic differential equation (SDE) with sub-fractional Brownian motion (sfBm) is considered in this paper. The task of parametric estimation is formulated as the constrained optimization problem, which is solved using a random search algorithm. This mathematical technique, used for the non-convex, non-differentiable, and possibly discontinuous objective function on continuous, discrete or mixed search domain, allows to estimate both drift and diffusion parameters of SDE with sfBm involved in the model multiplicatively or additively. Simulations confirm the effectiveness of developed methodology." @default.
- W2757902616 created "2017-10-06" @default.
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- W2757902616 date "2017-08-01" @default.
- W2757902616 modified "2023-09-26" @default.
- W2757902616 title "A nonparametric estimation method for stochastic differential equation with sub-fractional Brownian motion" @default.
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- W2757902616 doi "https://doi.org/10.1109/mmar.2017.8046867" @default.
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