{"id":"https://openalex.org/W2011623352","doi":"https://doi.org/10.1016/j.econmod.2014.04.026","title":"Parameter identification in mixed Brownian\u2013fractional Brownian motions using Powell's optimization algorithm","display_name":"Parameter identification in mixed Brownian\u2013fractional Brownian motions using Powell's optimization algorithm","publication_year":2014,"publication_date":"2014-05-14","ids":{"openalex":"https://openalex.org/W2011623352","doi":"https://doi.org/10.1016/j.econmod.2014.04.026","mag":"2011623352"},"language":"en","primary_location":{"id":"doi:10.1016/j.econmod.2014.04.026","doi":"https://doi.org/10.1016/j.econmod.2014.04.026","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.econmod.2014.04.026","pdf_url":null,"source":{"id":"https://openalex.org/S141184754","display_name":"Economic Modelling","issn_l":"0264-9993","issn":["0264-9993","1873-6122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Economic Modelling","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100425980","display_name":"Pu Zhang","orcid":"https://orcid.org/0000-0001-9122-8382","observed_orcids":["https://orcid.org/0000-0001-9122-8382"]},"institutions":[{"id":"https://openalex.org/I4210153482","display_name":"Changzhou University","ror":"https://ror.org/04ymgwq66","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210153482"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Pu Zhang","raw_affiliation_strings":["Department of Finance, School of Economics and Management, Changzhou University, Changzhou 213164, PR China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, School of Economics and Management, Changzhou University, Changzhou 213164, PR China","institution_ids":["https://openalex.org/I4210153482"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084410734","display_name":"Qi Sun","orcid":"https://orcid.org/0000-0002-6441-1672","observed_orcids":["https://orcid.org/0000-0002-6441-1672"]},"institutions":[{"id":"https://openalex.org/I75059550","display_name":"Zhejiang Gongshang University","ror":"https://ror.org/0569mkk41","country_code":"CN","type":"education","lineage":["https://openalex.org/I75059550"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Qi Sun","raw_affiliation_strings":["School of Business Administration, Zhejiang Gongshang University, Hangzhou 310018, PR China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business Administration, Zhejiang Gongshang University, Hangzhou 310018, PR China","institution_ids":["https://openalex.org/I75059550"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5028363994","display_name":"Weilin Xiao","orcid":"https://orcid.org/0000-0001-9763-4744","observed_orcids":["https://orcid.org/0000-0001-9763-4744"]},"institutions":[{"id":"https://openalex.org/I76130692","display_name":"Zhejiang University","ror":"https://ror.org/00a2xv884","country_code":"CN","type":"education","lineage":["https://openalex.org/I76130692"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Wei-Lin Xiao","raw_affiliation_strings":["Department of Accounting and Finance, School of Management, Zhejiang University, Hangzhou 310058, PR China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting and Finance, School of Management, Zhejiang University, Hangzhou 310058, PR China","institution_ids":["https://openalex.org/I76130692"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5028363994"],"corresponding_institution_ids":["https://openalex.org/I76130692"],"apc_list":{"value":3660,"currency":"USD","value_usd":3660},"apc_paid":null,"fwci":1.757,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.88050944,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"40","issue":null,"first_page":"314","last_page":"319"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9804999828338623,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9804999828338623,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10288","display_name":"Fractional Differential Equations Solutions","score":0.004999999888241291,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T13487","display_name":"Statistical and numerical algorithms","score":0.002199999988079071,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/parameter-estimation","display_name":"parameter estimation","score":0.800000011920929},{"id":"https://openalex.org/keywords/powell-s-method","display_name":"Powell's method","score":0.6579999923706055},{"id":"https://openalex.org/keywords/maximum-likelihood-estimation","display_name":"maximum likelihood estimation","score":0.9520000219345093},{"id":"https://openalex.org/keywords/fractional-brownian-motion","display_name":"fractional Brownian motion","score":0.9100000262260437},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.871999979019165},{"id":"https://openalex.org/keywords/random-walk-approximation","display_name":"random walk approximation","score":0.8610000014305115},{"id":"https://openalex.org/keywords/fast-optimization-algorithm","display_name":"fast optimization algorithm","score":0.41100001335144043}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8153486847877502},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.7703603506088257},{"id":"https://openalex.org/C108819105","wikidata":"https://www.wikidata.org/wiki/Q1143293","display_name":"Fractional Brownian motion","level":3,"score":0.671882152557373},{"id":"https://openalex.org/C116834253","wikidata":"https://www.wikidata.org/wiki/Q2039217","display_name":"Identification (biology)","level":2,"score":0.5181930661201477},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.48894158005714417},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4456598162651062},{"id":"https://openalex.org/C78651780","wikidata":"https://www.wikidata.org/wiki/Q628309","display_name":"Brownian bridge","level":3,"score":0.44192585349082947},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.43628591299057007},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.4140966534614563},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4009179472923279},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3531055152416229},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2630150318145752},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1953868269920349},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.183112233877182},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0},{"id":"https://openalex.org/C59822182","wikidata":"https://www.wikidata.org/wiki/Q441","display_name":"Botany","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.econmod.2014.04.026","doi":"https://doi.org/10.1016/j.econmod.2014.04.026","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.econmod.2014.04.026","pdf_url":null,"source":{"id":"https://openalex.org/S141184754","display_name":"Economic Modelling","issn_l":"0264-9993","issn":["0264-9993","1873-6122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Economic Modelling","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:ecmode:v:40:y:2014:i:c:p:314-319","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0264999314001667","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1359553889","display_name":"\u57fa\u4e8e\u9ad8\u9636\u77e9\u98ce\u9669\u7684\u975e\u5e38\u89c4\u7a81\u53d1\u4e8b\u4ef6\u5e94\u6025\u7ba1\u7406\u4f18\u5316\u6a21\u578b\u7814\u7a76","funder_award_id":"71301146","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G1910656168","display_name":"\u5948\u7279\u4e0d\u786e\u5b9a\u6027\u4e0b\u52a8\u6001\u6295\u8d44\u7ec4\u5408\u9009\u62e9\u6a21\u578b\u4e0e\u7b97\u6cd5\u7814\u7a76","funder_award_id":"71301144","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3362900256","display_name":null,"funder_award_id":"13YJC630227","funder_id":"https://openalex.org/F4320306416","funder_display_name":"Marathon"},{"id":"https://openalex.org/G569245769","display_name":"\u7edf\u8ba1\u4fe1\u606f\u4e0d\u8db3\u60c5\u5f62\u4e0b\u7684\u5c40\u5185\u91d1\u878d\u8d44\u4ea7\u914d\u7f6e\u4e0e\u5b9a\u4ef7\u7814\u7a76","funder_award_id":"71171086","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G914760770","display_name":"\u957f\u8bb0\u5fc6\u6a21\u5f0f\u4e0b\u80a1\u672c\u6743\u8bc1\u7684\u5b9a\u4ef7\u4e0e\u53c2\u6570\u4f30\u8ba1\u7814\u7a76","funder_award_id":"71101056","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320306416","display_name":"Marathon","ror":"https://ror.org/03jc1ps31"},{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W1525024542","https://openalex.org/W1970058257","https://openalex.org/W1986372184","https://openalex.org/W1986746640","https://openalex.org/W1993444966","https://openalex.org/W2001205799","https://openalex.org/W2011413345","https://openalex.org/W2016193062","https://openalex.org/W2025505566","https://openalex.org/W2038044579","https://openalex.org/W2043382734","https://openalex.org/W2044390321","https://openalex.org/W2053080603","https://openalex.org/W2057116804","https://openalex.org/W2077098499","https://openalex.org/W2077310260","https://openalex.org/W2143548793","https://openalex.org/W2150281008","https://openalex.org/W2180071254","https://openalex.org/W2319085245","https://openalex.org/W2497534953","https://openalex.org/W3125050320","https://openalex.org/W4251238138","https://openalex.org/W4299784281"],"related_works":["https://openalex.org/W2946817854","https://openalex.org/W4324148011","https://openalex.org/W2132182720","https://openalex.org/W3158873377","https://openalex.org/W4407262500","https://openalex.org/W3195234736","https://openalex.org/W2124009667","https://openalex.org/W3011026405","https://openalex.org/W2151673989","https://openalex.org/W3134411678"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}
