Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning

DOI10.1063/5.0093836MaRDI QIDQ6567626zbMATH OpenFDO

Authors Dawid Szarek, Ireneusz Jabłoński, Diego Krapf, Agnieszka Wyłomańska

Publication date 5 July 2024

Published in Chaos (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/5.0093836

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Markov processes (60Jxx) Inference from stochastic processes (62Mxx)

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Cited in

(1)

• Parameter identification of the Black-Scholes model driven by multiplicative fractional Brownian motion

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