Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion (Q392707)
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scientific article; zbMATH DE number 6245595
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| English | Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion |
scientific article; zbMATH DE number 6245595 |
Statements
Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion (English)
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15 January 2014
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fractional Brownian motion
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quadratic variation
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consistent estimator
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Milstein approximation
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0.9074531197547911
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0.874320387840271
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0.8739466071128845
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0.8682564496994019
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