dc.contributor.author | Melichov, Dmitrij | |
dc.date.accessioned | 2023-09-18T17:49:28Z | |
dc.date.available | 2023-09-18T17:49:28Z | |
dc.date.issued | 2010 | |
dc.identifier.issn | 0132-2818 | |
dc.identifier.other | (BIS)VGT02-000021507 | |
dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/126564 | |
dc.description.abstract | In 2010 J.M. Bardet and D. Surgailis [1] have introduced the increment ratio (IR) statistic which measures the roughness of random paths. It was shown that this statistic was applicable in the cases of diffusion processes driven by the standard Brownian motion, certain Gaussian processes and the Lévy process. This paper shows that the IR statistic can be applied to estimate the Hurst index H of the fractional geometric Brownian motion. | eng |
dc.description.abstract | 2010 m. J.M. Bardet ir D. Surgailis [1] įvedė pokyčių santykio (IR) statistiką, kuri matuoja atsitiktinio proceso trajektorijų šiurkštumą. Jie parodė, kad ši statistika gali būti taikoma difuziniams procesams, valdomiems standartinio Brauno judesio, tam tikriems Gauso procesams ir Lévy procesams. Šiame straipsnyje įrodoma, kad IR statistika gali būti taikoma trupmeninio geometrinio Brauno judesio Hursto indekso H vertinimui. | lit |
dc.format | PDF | |
dc.format.extent | p. 368-372 | |
dc.format.medium | tekstas / txt | |
dc.language.iso | eng | |
dc.relation.isreferencedby | CIS | |
dc.source.uri | https://doi.org/10.15388/LMR.2010.67 | |
dc.title | Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion | |
dc.title.alternative | IR statistikos taikymas trupmeninio geometrinio Brauno judesio Hursto indekso vertinimui | |
dc.type | Straipsnis kitoje DB / Article in other DB | |
dcterms.references | 2 | |
dc.type.pubtype | S3 - Straipsnis kitoje DB / Article in other DB | |
dc.contributor.institution | Vilniaus Gedimino technikos universitetas | |
dc.contributor.faculty | Fundamentinių mokslų fakultetas / Faculty of Fundamental Sciences | |
dc.subject.researchfield | N 001 - Matematika / Mathematics | |
dc.subject.lt | Pokyčių santykio statistika | |
dc.subject.lt | Trupmeninis Brauno judesys | |
dc.subject.lt | Trupmeninis Black– Scholes modelis | |
dc.subject.lt | Hursto indekso vertinimas | |
dc.subject.en | Increment ratio statistic | |
dc.subject.en | Fractional geometric Brownian motion | |
dc.subject.en | Fractional Black-Scholes model | |
dc.subject.en | Hurst index estimation | |
dcterms.sourcetitle | Lietuvos matematikos rinkinys | |
dc.description.volume | T. 51 | |
dc.publisher.name | Matematikos ir informatikos institutas | |
dc.publisher.city | Vilnius | |
dc.identifier.doi | 10.15388/LMR.2010.67 | |
dc.identifier.elaba | 3916362 | |