Parameter estimation of diffusion processes using EDAs

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“Parameter estimation of diffusion processes using EDAs” by Z. González-Arenas, J. C. Jiménez-Sobrino, L. Lozada-Chang, and R. Santana. In Proceedings of VIII International Conference on Operations Research, (La Habana, Cuba), 2008.

Abstract

In this work we introduced a specific EDA, a continuous version of the Univariate Marginal Distribution Algorithm (UMDAc), to seek a solution for the optimization problem related with the estimation of unknown parameters in a diffusion process. There were considered two different examples for evaluating our proposal behavior and a comparison was made with the case of using a local search algorithm.

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BibTeX entry:

@inproceedings{Gonzalez_et_al::2008,
   author = {Z. Gonz{\'a}lez-Arenas and J. C. Jim{\'e}nez-Sobrino and L.
	Lozada-Chang and R. Santana},
   title = {Parameter estimation of diffusion processes using {EDAs}},
   booktitle = {Proceedings of VIII International Conference on Operations
	Research},
   pages = {55},
   address = {La Habana, Cuba},
   year = {2008}
}

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