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On drift parameter estimation in models with fractional Brownian motion - MaRDI portal

On drift parameter estimation in models with fractional Brownian motion (Q5263966)

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scientific article; zbMATH DE number 6460249
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English
On drift parameter estimation in models with fractional Brownian motion
scientific article; zbMATH DE number 6460249

    Statements

    title
    On drift parameter estimation in models with fractional Brownian motion (English)
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    published in
    Statistics
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    publication date
    20 July 2015
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    zbMATH Keywords
    fractional Brownian motion
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    Brownian motion
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    parameter estimation
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    stochastic differential equation
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    sequential estimation
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    Ornstein-Uhlenbeck model
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    Identifiers

    Mathematics Subject Classification ID
    62M05
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    60G22
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    60J65
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    60H10
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    zbMATH DE Number
    6460249
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    OpenAlex ID
    W1973307042
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    arXiv ID
    1112.2330
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