收稿日期: 2003-07-11
修回日期: 2003-10-08
网络出版日期: 2004-05-10
基金资助
国家自然科学基金 (10071082);教育部博士点基金;中国科学院和中国科学技术大学创新基金资助
Estimating the Parameters of Diffusion Equation by MCMC
Received date: 2003-07-11
Revised date: 2003-10-08
Online published: 2004-05-10
吴振翔 , 缪柏其 . 扩散方程参数的MCMC估计[J]. 中国科学院大学学报, 2004 , 21(3) : 310 -314 . DOI: 10.7523/j.issn.2095-6134.2004.3.004
Parameters of the diffusion about yield rate of Shanghai Index are obtained by using the MCMC method. Then, the distribution of future yield of next day is given by Monte Carlo, and the validity of the distribution is checked.At last, some risk analysis is made.
Key words： MCMC; diffusion equation; risk analysis
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