On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

DOI10.15388/NA.2016.6.9zbMath1418.60031arXiv1607.03166MaRDI QIDQ4968104

Dmitrij Melichov, Kęstutis Kubilius

Publication date: 12 July 2019

Published in: Nonlinear Analysis: Modelling and Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.03166

zbMATH Keywords

Hurst indexdiffusion coefficientfractional Gompertz diffusion process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

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