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Parameter estimation of uncertain differential equation with application to financial market

Citations

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Cited by:

  1. Tingqing Ye & Baoding Liu, 2022. "Uncertain hypothesis test with application to uncertain regression analysis," Fuzzy Optimization and Decision Making, Springer, vol. 21(2), pages 157-174, June.
  2. Shen, Jiayu & Shi, Jianxin & Gao, Lingceng & Zhang, Qiang & Zhu, Kai, 2023. "Uncertain green product supply chain with government intervention," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 136-156.
  3. Liu, Z. & Yang, Y., 2021. "Uncertain pharmacokinetic model based on uncertain differential equation," Applied Mathematics and Computation, Elsevier, vol. 404(C).
  4. Lu, Jing & Yang, Xiangfeng & Tian, Miao, 2022. "Barrier swaption pricing formulae of mean-reverting model in uncertain environment," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
  5. Tang, Han & Yang, Xiangfeng, 2021. "Uncertain chemical reaction equation," Applied Mathematics and Computation, Elsevier, vol. 411(C).
  6. Wang, Weiwei & Ralescu, Dan A., 2021. "Valuation of lookback option under uncertain volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  7. Jin, Ting & Ding, Hui & Xia, Hongxuan & Bao, Jinfeng, 2021. "Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
  8. Jia, Lifen & Liu, Xueyong, 2021. "Optimal harvesting strategy based on uncertain logistic population model," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  9. Jia, Lifen & Chen, Wei, 2020. "Knock-in options of an uncertain stock model with floating interest rate," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
  10. Lifen Jia & Linya Zhang & Wei Chen, 2024. "China’s carbon emission allowance prices forecasting and option designing in uncertain environment," Fuzzy Optimization and Decision Making, Springer, vol. 23(4), pages 539-560, December.
  11. Meiling Jin & Fengming Liu & Yufu Ning & Yichang Gao & Dongmei Li, 2024. "A Mathematical Optimization Model Designed to Determine the Optimal Timing of Online Rumor Intervention Based on Uncertainty Theory," Mathematics, MDPI, vol. 12(16), pages 1-21, August.
  12. Najafi, Alireza & Taleghani, Rahman, 2022. "Fractional Liu uncertain differential equation and its application to finance," Chaos, Solitons & Fractals, Elsevier, vol. 165(P2).
  13. Guanzhong Ma & Xiangfeng Yang & Xiao Yao, 2021. "A relation between moments of Liu process and Bernoulli numbers," Fuzzy Optimization and Decision Making, Springer, vol. 20(2), pages 261-272, June.
  14. Gao, Yin & Gao, Jinwu & Yang, Xiangfeng, 2022. "Parameter estimation in uncertain delay differential equations via the method of moments," Applied Mathematics and Computation, Elsevier, vol. 431(C).
  15. Xiangfeng Yang & Hua Ke, 2023. "Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption," Fuzzy Optimization and Decision Making, Springer, vol. 22(3), pages 447-462, September.
  16. Li, Bo & Li, Xiangfa & Teo, Kok Lay & Zheng, Peiyao, 2022. "A new uncertain random portfolio optimization model for complex systems with downside risks and diversification," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
  17. Chen, Dan & Liu, Yang, 2023. "Uncertain Gordon-Schaefer model driven by Liu process," Applied Mathematics and Computation, Elsevier, vol. 450(C).
  18. Yi Zhang & Jinwu Gao & Xiang Li & Xiangfeng Yang, 2021. "Two-person cooperative uncertain differential game with transferable payoffs," Fuzzy Optimization and Decision Making, Springer, vol. 20(4), pages 567-594, December.
  19. Jian Zhou & Yujiao Jiang & Athanasios A. Pantelous & Weiwen Dai, 2023. "A systematic review of uncertainty theory with the use of scientometrical method," Fuzzy Optimization and Decision Making, Springer, vol. 22(3), pages 463-518, September.
  20. Shi, Gang & Gao, Jinwu, 2021. "European Option Pricing Problems with Fractional Uncertain Processes," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
  21. Lifen Jia & Wei Chen, 2021. "Uncertain SEIAR model for COVID-19 cases in China," Fuzzy Optimization and Decision Making, Springer, vol. 20(2), pages 243-259, June.
  22. Jin, Ting & Yang, Xiangfeng, 2021. "Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 203-221.
  23. Tang, Han & Yang, Xiangfeng, 2022. "Moment estimation in uncertain differential equations based on the Milstein scheme," Applied Mathematics and Computation, Elsevier, vol. 418(C).
  24. Sheng, Yuhong & Yao, Kai & Qin, Zhongfeng, 2020. "Continuity and variation analysis of fractional uncertain processes," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
  25. Lu Yang & Tingqing Ye & Haizhong Yang, 2022. "Uncertain seepage equation in fissured porous media," Fuzzy Optimization and Decision Making, Springer, vol. 21(3), pages 383-403, September.
  26. Li, Bo & Zhang, Ranran & Jin, Ting & Shu, Yadong, 2021. "Parametric approximate optimal control of uncertain differential game with application to counter terror," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
  27. He, Liu & Zhu, Yuanguo, 2024. "Nonparametric estimation for uncertain fractional differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 178(C).
  28. Yu, Yongjiu & Yang, Xiangfeng & Lei, Qing, 2022. "Pricing of equity swaps in uncertain financial market," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  29. Liu He & Yuanguo Zhu & Ziqiang Lu, 2023. "Parameter estimation for uncertain fractional differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 22(1), pages 103-122, March.
  30. Liu, Z. & Yang, Y., 2021. "Selection of uncertain differential equations using cross validation," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
  31. Xu, Qinqin & Zhu, Yuanguo, 2023. "Reliability analysis of uncertain random systems based on uncertain differential equation," Applied Mathematics and Computation, Elsevier, vol. 450(C).
  32. Muhamad Deni Johansyah & Endang Rusyaman & Bob Foster & Khoirunnisa Rohadatul Aisy Muslihin & Asep K. Supriatna, 2024. "Combining Differential Equations with Stochastic for Economic Growth Models in Indonesia: A Comprehensive Literature Review," Mathematics, MDPI, vol. 12(20), pages 1-15, October.
  33. Zhang, Guidong & Sheng, Yuhong, 2022. "Estimating time-varying parameters in uncertain differential equations," Applied Mathematics and Computation, Elsevier, vol. 425(C).
  34. Xiaowei Chen & Jing Li & Chen Xiao & Peilin Yang, 2021. "Numerical solution and parameter estimation for uncertain SIR model with application to COVID-19," Fuzzy Optimization and Decision Making, Springer, vol. 20(2), pages 189-208, June.
  35. Waichon Lio & Baoding Liu, 2021. "Initial value estimation of uncertain differential equations and zero-day of COVID-19 spread in China," Fuzzy Optimization and Decision Making, Springer, vol. 20(2), pages 177-188, June.
  36. Waichon Lio & Rui Kang, 2023. "Bayesian rule in the framework of uncertainty theory," Fuzzy Optimization and Decision Making, Springer, vol. 22(3), pages 337-358, September.
  37. Yang Liu & Baoding Liu, 2022. "Residual analysis and parameter estimation of uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 21(4), pages 513-530, December.
  38. Tingqing Ye & Baoding Liu, 2023. "Uncertain hypothesis test for uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 22(2), pages 195-211, June.
  39. Liu He & Yuanguo Zhu & Yajing Gu, 2023. "Nonparametric estimation for uncertain differential equations," Fuzzy Optimization and Decision Making, Springer, vol. 22(4), pages 697-715, December.
  40. Noorani, Idin & Mehrdoust, Farshid, 2022. "Parameter estimation of uncertain differential equation by implementing an optimized artificial neural network," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
  41. Zhiyong Huang & Chunliu Zhu & Jinwu Gao, 2021. "Stability analysis for uncertain differential equation by Lyapunov’s second method," Fuzzy Optimization and Decision Making, Springer, vol. 20(1), pages 129-144, March.
  42. Liu, Zhe & Yang, Ying, 2022. "Moment estimation for parameters in high-order uncertain differential equations," Applied Mathematics and Computation, Elsevier, vol. 433(C).
  43. Farshid Mehrdoust & Idin Noorani & Wei Xu, 2023. "Uncertain energy model for electricity and gas futures with application in spark-spread option price," Fuzzy Optimization and Decision Making, Springer, vol. 22(1), pages 123-148, March.
  44. Chen, Xin & Zhu, Yuanguo & Sheng, Linxue, 2021. "Optimal control for uncertain stochastic dynamic systems with jump and application to an advertising model," Applied Mathematics and Computation, Elsevier, vol. 407(C).
  45. Pan, Zeyu & Gao, Yin & Yuan, Lin, 2021. "Bermudan options pricing formulas in uncertain financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  46. Jie, Ke-Wei & Liu, San-Yang & Sun, Xiao-Jun & Xu, Yun-Cheng, 2023. "A dynamic ripple-spreading algorithm for solving mean–variance of shortest path model in uncertain random networks," Chaos, Solitons & Fractals, Elsevier, vol. 167(C).
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