Parameter estimation in fractional diffusion models
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Publication:1680119
DOI10.1007/978-3-319-71030-3zbMath1388.60006MaRDI QIDQ1680119
Kostiantyn Ralchenko, Kęstutis Kubilius, Yuliya S. Mishura
Publication date: 22 November 2017
Published in: Bocconi \& Springer Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-71030-3
stochastic differential equations; Orey index; drift parameter estimation; Hurst index estimation; fractional diffusion models
62G05: Nonparametric estimation
60J60: Diffusion processes
60-02: Research exposition (monographs, survey articles) pertaining to probability theory
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