New THE MATHEMATICA JOURNAL article:
by BÉLA PALÁNCZ
ABSTRACT: This article illustrates how Mathematica can be employed to model stochastic processes via stochastic differential equations to compute trajectories and their statistical features. In addition, we discuss parameter estimation of the model via the maximum likelihood method with global optimization. We consider handling modeling error, system noise and measurement error, compare the stochastic and deterministic models and use the likelihood-ratio test to verify the possible improvement provided by stochastic modeling. The Mathematica code is simple and can be easily adapted to similar problems. - Read full text » - Submit an article »
