Estimation of parameters of SDE driven by fractional Brownian motion\n with polynomial drift

2015/01/27 by Kęstutis Kubilius, Kubilius, Kestutis, Viktor Skorniakov +3
Economics, Econometrics and Finance · #60G22 #62F12 #62M09 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1501.06850

openalex publication_date 2015/01/27 · openalex created_date 2022/10/07 · openalex updated_date 2026/07/28

Abstract

Strongly consistent and asymptotically normal estimators of the Hurst index\nand volatility parameters of solutions of stochastic differential equations\nwith polynomial drift are proposed. The estimators are based on discrete\nobservations of the underlying processes.\n

Cited by

• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

Related

• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
• Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
• On drift parameter estimation in models with fractional Brownian motion