Stochastic Differential Equation Models with Time-Varying Parameters

Meng Chen (), Sy-Miin Chow () and Michael D. Hunter ()
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Meng Chen: Pennsylvania State University, Department of Human Development and Family Studies
Sy-Miin Chow: Pennsylvania State University, Department of Human Development and Family Studies
Michael D. Hunter: Georgia Institute of Technology, School of Psychology

Chapter Chapter 9 in Continuous Time Modeling in the Behavioral and Related Sciences, 2018, pp 205-238 from Springer

Abstract: Abstract Self-organization occurs when a system shows distinct shifts in dynamics due to variations in the parameters that govern the system. Relatedly, many human dynamic processes with self-organizing features comprise subprocesses that unfold across multiple time scales. Incorporating time-varying parameters (TVPs) into a dynamic model of choice provides one way of representing self-organization as well as multi-time scale processes. Extant applications involving models with TVPs have been restricted to formulation in discrete time. Related work for representing TVPs in continuous-time models remains scarce. We propose a stochastic differential equation (SDE) modeling framework with TVPs as a way to capture self-organization in continuous time. We present several examples of SDEs with TVPs, including a stochastic damped oscillator model with hypothesized functional shifts in both set points and damping. Furthermore, we discuss plausible models that may be used to approximate changes in the TVPs in the absence of further knowledge concerning their true change mechanisms.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-77219-6_9

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DOI: 10.1007/978-3-319-77219-6_9

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