Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

DOI10.1080/00949655.2015.1095301OpenAlexW54848145MaRDI QIDQ5222453

Dmitrij Melichov, Kęstutis Kubilius, V. Skorniakov

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.06850

zbMATH Keywords

fractional Brownian motionBlack-Scholes modelconsistent estimatorHurst indexvolatilityVerhulst equationLandau-Ginzburg equation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (7)

Trajectory fitting estimation for stochastic differential equations driven by 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 ⋮ Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion ⋮ On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

Uses Software

• R

Cites Work

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