Parameter estimation in stochastic differential equation driven by fractional Brownian motion

被引：0

作者：

Filatova, Daria ^{[1
]}

Grzywaczewski, Marek ^{[1
]}

Shybanova, Elizaveta ^{[1
]}

Zili, Mounir ^{[1
]}

机构：

[1] Russian Acad Sci, Analyt Ctr, Moscow, Russia

来源：

EUROCON 2007: THE INTERNATIONAL CONFERENCE ON COMPUTER AS A TOOL, VOLS 1-6 | 2007年

关键词：

stochastic differential equation; fractal Brownian motion; parametric identification;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Paper presents a methodology for estimating the parameters of stochastic differential equation (SDE) driven by fractional Brownian motion (fBm). The main idea is connected with simulated maximum likelihood. To develop this methodology two important questions: generation the fBm sample paths with different Hurst parameter values and Hurst parameter estimation methods are studied. Effectiveness of methodology is analyzed through Monte Carlo simulations.

引用

页码：2111 / 2117

页数：7

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