Parameter Estimation in Fractional Diffusion Models - Couverture souple

Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn

Couverture souple

ISBN 10 : 3319710311 ISBN 13 : 9783319710310

Editeur : Springer, 2018

Synopsis

1 Description and properties of the basic stochastic models.- 2 The Hurst index estimators for a fractional Brownian motion.- 3 Estimation of the Hurst index from the solution of a stochastic differential equation.- 4 Parameter estimation in the mixed models via power variations.- 5 Drift parameter estimation in diffusion and fractional diffusion models.- 6 The extended Orey index for Gaussian processes.- 7 Appendix A: Selected facts from mathematical and functional analysis.- 8 Appendix B: Selected facts from probability, stochastic processes and stochastic calculus.

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 3319710311
• ISBN 13: 9783319710310
• Reliure: Taschenbuch
• Coordonnées du fabricant: non disponible
• Personne responsable: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Allemagne