Concepedia

A note on estimating drift and diffusion parameters from timeseries

Philip Sura, J. J. Barsugli

Physics Letters A · 2002 · 91 citations · 9 references

DOI

Concepts

References

9

A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

Richard Stanton · The Journal of Finance · 1997 · 552 citations

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Noise-induced transitions: Theory and applications in physics, chemistry and biology

Henryk Gzyl · Acta Applicandae Mathematicae · 1988 · 414 citations

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Analysis of data sets of stochastic systems

Silke Siegert, R. Friedrich, Joachim Peinke · Physics Letters A · 1998 · 294 citations · Full text

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Extracting model equations from experimental data

R. Friedrich, Silke Siegert, Joachim Peinke et al. · Physics Letters A · 2000 · 226 citations

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How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market

R. Friedrich, Joachim Peinke, Ch. Renner · Physical Review Letters · 2000 · 206 citations · Full text

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