The rate of convergence of the Hurst index estimate for a stochastic differential equation

DOI10.15388/NA.2017.2.9zbMath1416.60061OpenAlexW2809845701MaRDI QIDQ4968128

V. Skorniakov, Kęstutis Kubilius, Kostiantyn Ralchenko

Publication date: 12 July 2019

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

Full work available at URL: https://doi.org/10.15388/na.2017.2.9

zbMATH Keywords

stochastic differential equationrate of convergencefractional Brownian motionestimates of Hurst parametersecond-order quadratic variations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model

Cites Work

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• Elements of Random Walk and Diffusion Processes
• Concrete Functional Calculus
• The Malliavin Calculus and Related Topics
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Encyclopedia of Distances

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