Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
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Publication:392707
DOI10.1007/s10986-010-9095-zzbMath1393.60061OpenAlexW2062356601MaRDI QIDQ392707
Kęstutis Kubilius, Dmitrij Melichov
Publication date: 15 January 2014
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-010-9095-z
Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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