Estimating the Hurst index of the solution of a stochastic integral equation

zbMATH Open1339.60082MaRDI QIDQ2809664FDOQ2809664

K. Kubilius, D. Melichov

Publication date: 30 May 2016

Published in: Lietuvos Matematikos Rinkinys. Lietuvos Matematiku Draugijos Darbai (Search for Journal in Brave)

zbMATH Keywords

consistent estimatorfractional Brownian motionquadratic variationstochastic integral equationHurst indexMilstein approximation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Cited In (1)

• Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion

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