کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4630668 | 1340604 | 2011 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stochastic processes adapted by neural networks with application to climate, energy, and finance
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Stochastic processes adapted by neural networks with application to climate, energy, and finance Stochastic processes adapted by neural networks with application to climate, energy, and finance](/preview/png/4630668.png)
چکیده انگلیسی
Local climate parameters may naturally effect the price of many commodities and their derivatives. Therefore we propose a joint framework for stochastic modeling of climate and commodity prices. In our setting, a stable Levy process is drift augmented to a generalized SDE. The related nonlinear function on the state space typically exhibits deterministic chaos. Additionally, a neural network adapts the parameters of the stable process such that the latter produces increasingly optimal differences between simulated output and observed data. Thus we propose a novel method of “intelligent” calibration of the stochastic process, using learning neural networks in order to dynamically adapt the parameters of the stochastic model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 218, Issue 3, 1 October 2011, Pages 1003–1007
Journal: Applied Mathematics and Computation - Volume 218, Issue 3, 1 October 2011, Pages 1003–1007
نویسندگان
Stefan Giebel, Martin Rainer,