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

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

zbMATH Keywords

fractional Brownian motionconsistent estimatorquadratic variationMilstein approximation

Mathematics Subject Classification ID

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

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