Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift

DOI10.15388/namc.2020.25.20565zbMath1451.60041OpenAlexW3097161957MaRDI QIDQ5132224

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Publication date: 10 November 2020

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

Full work available at URL: https://doi.org/10.15388/namc.2020.25.20565

zbMATH Keywords

fractional Brownian motionHurst indexbackward Euler approximationfractional Ait-Sahalia modelfractional CKLS model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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