Estimation in models driven by fractional Brownian motion
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Publication:731662
DOI10.1214/07-AIHP105zbMath1206.62141arXiv0805.3394OpenAlexW2004682238MaRDI QIDQ731662
Corinne Berzin, José Rafael León
Publication date: 8 October 2009
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0805.3394
Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Applications of hypergeometric functions (33C90) Markov processes: hypothesis testing (62M02)
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- Stochastic volatility and fractional Brownian motion
- Ordinary differential equations with fractal noise
- Stochastic analysis of fractional brownian motions
- Fractional Brownian Motions, Fractional Noises and Applications
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