Exploring novel approaches for estimating fractional stochastic processes through practical applications

DOI10.14317/JAMI.2024.223MaRDI QIDQ6569190zbMATH OpenFDO

Authors Nabil Laiche, Laid Gasmi, Raman Vinoth, Halim Zeghdoudi

Publication date 8 July 2024

Published in Journal of Applied Mathematics \& Informatics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14317/JAMI.2024.223

zbMATH Keywords

Caputo fractional derivativesfractional stochastic modelsstochastic process

Mathematics Subject Classification ID

Asymptotic theory of functional-differential equations (34K25) Inverse problems for functional-differential equations (34K29) Functional-differential equations with fractional derivatives (34K37) Stochastic functional-differential equations (34K50) Generalized stochastic processes (60G20)

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Cites work

• A class of time-fractional reaction-diffusion equation with nonlocal boundary condition
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Applications of fractional calculus in physics
• Asymmetric COGARCH processes
• COGARCH as a continuous-time limit of GARCH(1,1)
• Estimation in nonlinear time series models
• GARCH models. Structure, statistical inference and financial applications
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5066273 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Method of moment estimation in the COGARCH(1,1) model
• Numerical methods for stochastic partial differential equations with white noise
• Threshold heteroskedastic models
• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes

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