Original title: Stochastic Catastrophe Theory
Translated title: Stochastická teorie katastrof
Authors: Vošvrda, Miloslav ; Voříšek, Jan
Document type: Research reports
Year: 2009
Language: eng
Series: Research Report, volume: 2253
Abstract: [eng] [cze]
The so called Cusp deterministic catastrophe model extends the classical linear regression adding nonlinearity into a model. A property of a stochatic catastrophe model connected with stochastic differential equation could be described by density, which is known in closed-form only in stationary case. The approximation of the transition density is done here by finite difference metod. Tzv. Cusp deterministický model katastrof je rozšířen o klasickou lineární regresi, dodávající nelinearitu do modelu. Vlastnost stochastického modelu katastrof spojena se stochastickou diferenciální rovnicí může být popsána hustotou, která je v uzavřeném tvaru pouze pro stacionární případ. Ve zprávě je uvedena aproximace této hustoty pomocí metody konečných diferencí.
Keywords: Cusp transition density; finite difference; stochastic catastrophe theory
Project no.: CEZ:AV0Z10750506 (CEP), GD402/09/H045 (CEP)
Funding provider: GA ČR

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2009/E/vorisek-stochastic catastrophe theory.pdf
Original record: http://hdl.handle.net/11104/0178295

Permalink: http://www.nusl.cz/ntk/nusl-40838


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