Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
From MaRDI portal
Publication:392707
DOI10.1007/s10986-010-9095-zzbMath1393.60061OpenAlexW2062356601MaRDI QIDQ392707
Kęstutis Kubilius, Dmitrij Melichov
Publication date: 15 January 2014
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-010-9095-z
Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (11)
Parameter estimation for fractional diffusion process with discrete observations ⋮ Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion ⋮ On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion ⋮ CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ The rate of convergence of Hurst index estimate for the stochastic differential equation ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Parameter identification for the discretely observed geometric fractional Brownian motion ⋮ Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
- A complement to Gladyshev's theorem
- Estimation in models driven by fractional Brownian motion
- Quadratic variations along irregular subdivisions for Gaussian processes
- On quadratic variation of processes with Gaussian increments
- An extended martingale invariance principle
- An approximation of a nonlinear integral equation driven by a function of bounded \(p\)-variation
- Differential equations driven by fractional Brownian motion
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
This page was built for publication: Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
