Title of article
The rate of convergence of Hurst index estimate for the stochastic differential equation
Author/Authors
Kubilius، Virgaudas نويسنده , , K. and Mishura، نويسنده , , Y.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
22
From page
3718
To page
3739
Abstract
We consider a stochastic differential equation involving a pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed values of the solution. The rate of convergence of these estimates to the true value of a parameter is established when the diameter of interval partition tends to zero.
Keywords
stochastic differential equation , Fractional Brownian motion , First- and second-order quadratic variations , Estimates of Hurst parameter , Rate of convergence
Journal title
Stochastic Processes and their Applications
Serial Year
2012
Journal title
Stochastic Processes and their Applications
Record number
1578727
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