Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation

DOI10.1063/5.0158843MaRDI QIDQ6552811zbMATH OpenFDO

Authors Joanna Janczura, Marcin Magdziarz, Ralf Metzler

Publication date 10 June 2024

Published in Chaos (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/5.0158843

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(4)

• Stochastic processes in a confining harmonic potential in the presence of static and dynamic measurement noise
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• Estimation of energy-dependent parameter in the coupled continuous time random walk model
• Fractional hyper-ballistic transport under external oscillating electric fields

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