The rate of convergence of Hurst index estimate for the stochastic differential equation (Q454862)
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scientific article; zbMATH DE number 6092497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The rate of convergence of Hurst index estimate for the stochastic differential equation |
scientific article; zbMATH DE number 6092497 |
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The rate of convergence of Hurst index estimate for the stochastic differential equation (English)
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10 October 2012
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Stochastic differential equations involving a pathwise integral with respect to fractional Brownian motion are considered. The rate of convergence to the true value of a parameter is established for two estimates of Hurst parameter. The estimates are based on two types of quadratic variations of the observed solution to the stochastic differential equation. Numerical results demonstrate that the rate of convergence is better for the values of Hurst index not very close to 1.
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fractional Brownian motion
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stochastic differential eqaution
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first- and second-order quadratic variations
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estimates of Hurst parameter
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rate of convergence
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