Drift parameter estimation in the models involving fractional Brownian motion
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Publication:1703898
DOI10.1007/978-3-319-65313-6_10zbMath1382.60063OpenAlexW2768387882MaRDI QIDQ1703898
Kostiantyn Ralchenko, Yuliya S. Mishura
Publication date: 8 March 2018
Full work available at URL: https://doi.org/10.1007/978-3-319-65313-6_10
stochastic differential equationfractional Brownian motionfractional Ornstein-Uhlenbeck processdrift parameter estimation
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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