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

被引：7

作者：

Kubilius, K. ^{[1
]}

Skorniakov, V. ^{[2
]}

Melichov, D. ^{[3
]}

机构：

[1] Vilnius Univ, Inst Math & Informat, Akad 4, LT-08663 Vilnius, Lithuania

[2] Vilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania

[3] Vilnius Gediminas Tech Univ, Fac Fundamental Sci, Sauletekio Al 11, LT-10223 Vilnius, Lithuania

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 2016年 / 86卷 / 10期

关键词：

Black-Scholes model; Fractional Brownian motion; Landau-Ginzburg equation; consistent estimator; Hurst index; volatility; Verhulst equation; QUADRATIC VARIATIONS; GAUSSIAN PROCESS; HURST INDEX; CONVERGENCE;

D O I：

10.1080/00949655.2015.1095301

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of the underlying processes.

引用

页码：1954 / 1969

页数：16

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