Parameter identification for the discretely observed geometric fractional Brownian motion (Q5220717)
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scientific article; zbMATH DE number 7183067
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| English | Parameter identification for the discretely observed geometric fractional Brownian motion |
scientific article; zbMATH DE number 7183067 |
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Parameter identification for the discretely observed geometric fractional Brownian motion (English)
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27 March 2020
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geometric fractional Brownian motion
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maximum likelihood estimation
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quadratic variation
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asymptotic behaviour
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discrete observations
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0.8716270923614502
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0.7930349707603455
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0.7905805706977844
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0.7897565364837646
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0.7887123823165894
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