Parameter estimation in fractional diffusion models
The book under review is devoted to parameter estimation of the fractional diffusion models which are mostly described by the stochastic differential equation (SDE) \[ X_t=x_0+\int_0^t a(s,X_s) ds+ \int_0^t b(s,X_s) dB_s^H. \] Here, \(B_t^H\), \(t\geq 0\) is a fractional Brownian motion (fBm) which is a self-similar continuous time Gaussian process with stationary increments \(B^H_{t+s}-B^H_t\). Properties of \(B_t^H\) depend on the Hurst index \(H\) (\(0 <H <1\)). If \(H=1/2\) then \(B_t^H\) is a Wiener process \(W_t\) with uncorrelated increments. If \(H < 1/2\) or \(H > 1/2\) then increments of \(B_t^H\) are negatively or positively correlated, respectively. Diffusion models with correlated increments are widely used in natural sciences, financial and actuarial mathematics, computer networks, etc. Therefore, the book presents various diffusion models with memory and provides effective methods for parameter estimation in these models. It may be interesting for researchers and practitioners, graduate and postgraduate students. In Chapter 1, the basic properties of fBm are considered. General approach to diffusion models research is presented. Some classical SDEs are described in detail, e.g. Ornstein-Uhlenbeck equation. In Chapter 2, the Hurst index estimation of the fBm based on the asymptotic behavior of quadratic variations is presented. Chapter 3 is devoted to the Hurst index estimation from the solution of SDEs driven by fBm. Some strongly consistent and asymptotically normal estimators are proposed. In Chapter 4, mixed stochastic process \(M_t^H=a B_t^H+b W_t\) is investigated where \(B_t^H\) is fBm, \(W_t\) is a Wiener process and \(a\), \(b\) some coefficients. Strongly consistent estimators of parameters \(H\), \(a\) and \(b\) are proposed. Chapter 5 is devoted to the drift parameter estimation in the diffusion, fractional diffusion and mixed Brownian -- fractional Brownian diffusion models. In this chapter, instead of \(a(s,X_s)\) the drift \(\theta a(s,X_s)\) is considered with known \(a(s,X_s)\) and unknown \(\theta\). Various estimators of \(\theta\) are proposed. In particular, for diffusion model driven by the Wiener process a general condition for the strong consistency of the maximum likelihood estimator of the drift is obtained. Chapter 6 is devoted to parameter estimation of some diffusion models driven by continuous time Gaussian processes which increments are not stationary. The trajectories of these processes are Hölder continuous up to the Orey index. The Orey index of fBm is equal to \(H\). Subfractional Brownian motion and bifractional Brownian motion are examples. Appendices A and B contain necessary selected facts from mathematical and functional analysis, probability, stochastic processes and stochastic calculus.
- Statistical inference for fractional diffusion processes
- Estimation in models driven by fractional Brownian motion
- Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
- On estimations for the parameters of fractional diffusion models and their applications
- Parameter estimation for fractional diffusion process with discrete observations
- Estimation of parameters of fractional stable distributions
- Parameter estimation for the fractional fractal diffusion model based on its numerical solution
- Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
- Divergence of an integral of a process with small ball estimate
- Bayesian inference for fractional oscillating Brownian motion
- Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
- An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
- Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
- CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index
- Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
- Note on AR(1)-characterisation of stationary processes and model fitting
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Parameter and differentiation order estimation in fractional models
- Parameter estimation for the fractional Schrödinger equation using Bayesian method
- Adjoint state method for fractional diffusion: parameter identification
- Evaluating the efficiency of fractional integration parameter estimators
- Statistical inference for fractional diffusion processes
- Minimum Contrast Estimation for Fractional Diffusions
- Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
- On local linearization method for stochastic differential equations driven by fractional Brownian motion
- On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
- Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
- Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
- A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- On the non-commutative multifractional Brownian motion
- Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise
- Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
- Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes
- Parameter estimation for a discrete time model driven by fractional Poisson process
- Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
- Parameter estimation in mixed fractional stochastic heat equation
- On a calculable Skorokhod’s integral based projection estimator of the drift function in fractional SDE
- Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations
- Editorial
- Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
- Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- Nonparametric estimation from correlated copies of a drifted process
- Increasing domain infill asymptotics for stochastic differential equations driven by fractional Brownian motion
- Scaled quadratic variation for controlled rough paths and parameter estimation of fractional diffusions
- Concentration estimates for SPDEs driven by fractional Brownian motion
- The roughness exponent and its model-free estimation
- On a computable Skorokhod's integral-based estimator of the drift parameter in fractional SDE
- Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
- A criterion for absolute continuity relative to the law of fractional Brownian motion
- Drift parameter estimation for tempered fractional Ornstein-Uhlenbeck processes based on discrete observations
- Sample path properties of the fractional Wiener-Weierstrass bridge
- Drift parameter identification for the Ornstein-Uhlenbeck process driven by Ornstein-Uhlenbeck with small general Gaussian noise
- Estimation in models driven by fractional Brownian motion
- Local asymptotic normality for joint parameter estimation in the mixed fractional Ornstein-Uhlenbeck process with continuous observations
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