Estimating the Hurst index of the solution of a stochastic integral equation (Q2809664)
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scientific article; zbMATH DE number 6587426
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| English | Estimating the Hurst index of the solution of a stochastic integral equation |
scientific article; zbMATH DE number 6587426 |
Statements
30 May 2016
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stochastic integral equation
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fractional Brownian motion
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Hurst index
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quadratic variation
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consistent estimator
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Milstein approximation
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Estimating the Hurst index of the solution of a stochastic integral equation (English)
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