Parameter Estimation in Fractional Diffusion Models 1st ed. 2017(Bocconi & Springer Series Vol. 8) hardcover X, 360 p. 18
Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn 著
目次
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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