Hurst index estimation in stochastic differential equations driven by fractional Brownian motion

DOI10.1007/s10959-019-00925-wzbMath1464.60032arXiv1903.02364OpenAlexW2931218607MaRDI QIDQ785416

Radomyra Shevchenko, Peter Imkeller, Jan M. Gairing, Ciprian A. Tudor

Publication date: 6 August 2020

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.02364

zbMATH Keywords

stochastic differential equationfractional Brownian motionMalliavin calculuscentral limit theoremquadratic variationHurst index estimation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items

Parameter identification for the Hermite Ornstein-Uhlenbeck process ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion

Uses Software

• longmemo

Cites Work

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