Parameter Estimation in Fractional Diffusion Models
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portes grátis
Parameter Estimation in Fractional Diffusion Models
Ralchenko, Kostiantyn; Kubilius, Kestutis; Mishura, Yuliya
Springer International Publishing AG
06/2019
390
Mole
Inglês
9783319890319
15 a 20 dias
629
Descrição não disponível.
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.
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Fractional Brownian motion;Diffusion model with memory;Parameter estimation;Orey index;Hurst parameter
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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
