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Quadratic variations and estimation of the hurst index of the solution of SDE driven by a fractional Brownian motion

dc.contributor.authorKubilius, Kęstutis
dc.contributor.authorMelichov, Dmitrij
dc.date.accessioned2023-09-18T17:53:36Z
dc.date.available2023-09-18T17:53:36Z
dc.date.issued2010
dc.identifier.issn0363-1672
dc.identifier.other(BIS)VGT02-000021602
dc.identifier.urihttps://etalpykla.vilniustech.lt/handle/123456789/127167
dc.description.abstractIn this paper, we derive two strongly consistent Hurst index estimators from the limit behavior of the first-and second-order quadratic variations of the solution of an SDE driven by a fractional Brownian motion. We also show that these estimators retain their properties if the solution is replaced with its Milstein approximation.eng
dc.formatPDF
dc.format.extentp. 401-417
dc.format.mediumtekstas / txt
dc.language.isoeng
dc.relation.isreferencedbyScopus
dc.relation.isreferencedbyCIS: Current Index to Statistics
dc.relation.isreferencedbyAcademic Search Alumni Edition
dc.relation.isreferencedbyAcademic Search Premier
dc.relation.isreferencedbySpringerLink
dc.relation.isreferencedbyZentralblatt MATH (zbMATH)
dc.relation.isreferencedbyVINITI
dc.relation.isreferencedbyMathSciNet
dc.relation.isreferencedbyScience Citation Index Expanded (Web of Science)
dc.source.urihttps://doi.org/10.1007/s10986-010-9095-z
dc.titleQuadratic variations and estimation of the hurst index of the solution of SDE driven by a fractional Brownian motion
dc.typeStraipsnis Web of Science DB / Article in Web of Science DB
dcterms.accessRightsIDS Number: 679KJ
dcterms.references16
dc.type.pubtypeS1 - Straipsnis Web of Science DB / Web of Science DB article
dc.contributor.institutionMatematikos ir informatikos institutas
dc.contributor.institutionVilniaus Gedimino technikos universitetas
dc.contributor.facultyFundamentinių mokslų fakultetas / Faculty of Fundamental Sciences
dc.subject.researchfieldN 001 - Matematika / Mathematics
dc.subject.enFractional Brownian motion
dc.subject.enQuadratic variation
dc.subject.enConsistent estimator
dc.subject.enMilstein approximation
dcterms.sourcetitleLithuanian mathematical journal
dc.description.issueno. 4
dc.description.volumeVol. 50
dc.publisher.nameSpringer
dc.publisher.cityNew York
dc.identifier.doiLBT02-000040751
dc.identifier.doi000284160000004
dc.identifier.doi10.1007/s10986-010-9095-z
dc.identifier.elaba3918234


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