The rate of convergence of Hurst index estimate for the stochastic differential equation
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Publication:454862
DOI10.1016/j.spa.2012.06.011zbMath1255.60065arXiv1111.6711WikidataQ115341152 ScholiaQ115341152MaRDI QIDQ454862
Kęstutis Kubilius, Yuliya S. Mishura
Publication date: 10 October 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.6711
rate of convergence; fractional Brownian motion; estimates of Hurst parameter; first- and second-order quadratic variations; stochastic differential eqaution
60G22: Fractional processes, including fractional Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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