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

DOI10.1007/s10986-010-9095-zzbMath1393.60061MaRDI QIDQ392707

Kęstutis Kubilius, Dmitrij Melichov

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-010-9095-z

zbMATH Keywords

fractional Brownian motion; consistent estimator; quadratic variation; Milstein approximation

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

62F10: Point estimation

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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