Parameter estimation in fractional diffusion models

DOI10.1007/978-3-319-71030-3zbMath1388.60006OpenAlexW2782077593MaRDI QIDQ1680119

Kostiantyn Ralchenko, Kęstutis Kubilius, Yuliya S. Mishura

Publication date: 22 November 2017

Published in: Bocconi \& Springer Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-71030-3

zbMATH Keywords

stochastic differential equationsOrey indexdrift parameter estimationHurst index estimationfractional diffusion models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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