Parameter identification for mixed fractional Brownian motions with the drift parameter
From MaRDI portal
Publication:2164277
DOI10.1016/j.physa.2019.04.178OpenAlexW2946817854WikidataQ127938698 ScholiaQ127938698MaRDI QIDQ2164277
Xiang Wu, Chunhao Cai, Xuwen Cheng, Wei-Lin Xiao
Publication date: 12 August 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.178
maximum likelihood estimationDonsker type approximationEuler-Murayama schememixed fractional Brownian motions
Cites Work
- Unnamed Item
- Mixed Gaussian processes: a filtering approach
- Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
- Drift parameter estimation in fractional diffusions driven by perturbed random walks
- Efficient parameter estimation for self-similar processes
- Mixed fractional Brownian motion
- Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion
- On equivalence of likelihood maximization of stochastic block model and constrained nonnegative matrix factorization
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Variance change point detection for fractional Brownian motion based on the likelihood ratio test
- Least informative distributions in maximum \(q\)-log-likelihood estimation
- Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws
- Stochastic calculus for fractional Brownian motion and related processes.
- A note on Wick products and the fractional Black-Scholes model
- Estimators of long-memory: Fourier versus wavelets
- Statistical aspects of the fractional stochastic calculus
- High-frequency trading model for a complex trading hierarchy
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Long‐Memory Time Series
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Parameter identification for the discretely observed geometric fractional Brownian motion
- A Fractional Donsker Theorem
- Introduction to Econophysics
- Fractional Brownian motion, random walks and binary market models
