The rate of convergence of Hurst index estimate for the stochastic differential equation (Q454862): Difference between revisions
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Property / author: Yuliya S. Mishura / rank | |||
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Stochastic differential equations involving a pathwise integral with respect to fractional Brownian motion are considered. The rate of convergence to the true value of a parameter is established for two estimates of Hurst parameter. The estimates are based on two types of quadratic variations of the observed solution to the stochastic differential equation. Numerical results demonstrate that the rate of convergence is better for the values of Hurst index not very close to 1. | |||
Property / review text: Stochastic differential equations involving a pathwise integral with respect to fractional Brownian motion are considered. The rate of convergence to the true value of a parameter is established for two estimates of Hurst parameter. The estimates are based on two types of quadratic variations of the observed solution to the stochastic differential equation. Numerical results demonstrate that the rate of convergence is better for the values of Hurst index not very close to 1. / rank | |||
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Property / reviewed by: Yuliya S. Mishura / rank | |||
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Property / Mathematics Subject Classification ID: 60G22 / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / zbMATH DE Number: 6092497 / rank | |||
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fractional Brownian motion | |||
Property / zbMATH Keywords: fractional Brownian motion / rank | |||
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stochastic differential eqaution | |||
Property / zbMATH Keywords: stochastic differential eqaution / rank | |||
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first- and second-order quadratic variations | |||
Property / zbMATH Keywords: first- and second-order quadratic variations / rank | |||
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estimates of Hurst parameter | |||
Property / zbMATH Keywords: estimates of Hurst parameter / rank | |||
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rate of convergence | |||
Property / zbMATH Keywords: rate of convergence / rank | |||
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Revision as of 12:20, 30 June 2023
scientific article
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English | The rate of convergence of Hurst index estimate for the stochastic differential equation |
scientific article |
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The rate of convergence of Hurst index estimate for the stochastic differential equation (English)
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10 October 2012
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Stochastic differential equations involving a pathwise integral with respect to fractional Brownian motion are considered. The rate of convergence to the true value of a parameter is established for two estimates of Hurst parameter. The estimates are based on two types of quadratic variations of the observed solution to the stochastic differential equation. Numerical results demonstrate that the rate of convergence is better for the values of Hurst index not very close to 1.
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fractional Brownian motion
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stochastic differential eqaution
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first- and second-order quadratic variations
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estimates of Hurst parameter
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rate of convergence
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