scientific article

zbMath1339.60082MaRDI QIDQ2809664

Kęstutis Kubilius, Dmitrij Melichov

Publication date: 30 May 2016

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

fractional Brownian motionconsistent estimatorHurst indexquadratic variationstochastic integral equationMilstein approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion

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