Estimation in models driven by fractional Brownian motion

DOI10.1214/07-AIHP105zbMath1206.62141arXiv0805.3394OpenAlexW2004682238MaRDI QIDQ731662

Corinne Berzin, José Rafael León

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.3394

zbMATH Keywords

Gaussian processescentral limit theoremHermite polynomials

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Applications of hypergeometric functions (33C90) Markov processes: hypothesis testing (62M02)

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Cites Work

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• Estimating the Hurst parameter
• Stochastic analysis of the fractional Brownian motion
• Differential equations driven by fractional Brownian motion
• Convergence in fractional models and applications
• Almost sure oscillation of certain random processes
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Stochastic volatility and fractional Brownian motion
• Ordinary differential equations with fractal noise
• Stochastic analysis of fractional brownian motions
• Fractional Brownian Motions, Fractional Noises and Applications

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