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

dc.contributor.authorKubilius, Kęstutis
dc.contributor.authorSkorniakov, Viktor
dc.contributor.authorMelichov, Dmitrij
dc.date.accessioned2023-09-18T16:16:48Z
dc.date.available2023-09-18T16:16:48Z
dc.date.issued2016
dc.identifier.issn0094-9655
dc.identifier.urihttps://etalpykla.vilniustech.lt/handle/123456789/112630
dc.description.abstractStrongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of the underlying processes.eng
dc.formatPDF
dc.format.extentp. 1954-1969
dc.format.mediumtekstas / txt
dc.language.isoeng
dc.relation.isreferencedbyScience Citation Index Expanded (Web of Science)
dc.relation.isreferencedbyMathSciNet
dc.relation.isreferencedbyCIS: Current Index to Statistics
dc.relation.isreferencedbyCABI Abstracts Databases
dc.relation.isreferencedbyScopus
dc.relation.isreferencedbyZentralblatt MATH (zbMATH)
dc.subjectVE05 - Socioekonominių sistemų universalaus tvarumo tyrimai / Universal sustainability research
dc.titleEstimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
dc.typeStraipsnis Web of Science DB / Article in Web of Science DB
dcterms.references15
dc.type.pubtypeS1 - Straipsnis Web of Science DB / Web of Science DB article
dc.contributor.institutionVilniaus universitetas
dc.contributor.institutionVilniaus Gedimino technikos universitetas
dc.contributor.facultyFundamentinių mokslų fakultetas / Faculty of Fundamental Sciences
dc.subject.researchfieldN 001 - Matematika / Mathematics
dc.subject.ltspecializationsL106 - Transportas, logistika ir informacinės ir ryšių technologijos (IRT) / Transport, logistic and information and communication technologies
dc.subject.enFractional Brownian motion
dc.subject.enHurst index
dc.subject.envolatility
dc.subject.enBlack–Scholes model
dc.subject.enVerhulstequation
dc.subject.enLandau–Ginzburg equation
dc.subject.enconsistent estimator
dcterms.sourcetitleJournal of statistical computation and simulation
dc.description.issueno. 10
dc.description.volumevol. 86
dc.publisher.nameTaylor & Francis Inc.
dc.publisher.cityAbingdon, Oxfordshire
dc.identifier.doi000373694200010
dc.identifier.doi10.1080/00949655.2015.1095301
dc.identifier.elaba11743332


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