9783319710310: Parameter Estimation in Fractional Diffusion Models
Softcover
ISBN 10: 3319710311 ISBN 13: 9783319710310
Publisher: Springer, 2018

This specific ISBN edition is currently not available.

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.

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Publisher
Springer
Publication date
2018
Language
English
ISBN 10 
3319710311
ISBN 13 
9783319710310
Binding
Paperback
Number of pages
412

Other Popular Editions of the Same Title

9783319710297: Parameter Estimation in Fractional Diffusion Models (Bocconi & Springer Series, 8)

Featured Edition

ISBN 10:  331971029X ISBN 13:  9783319710297
Publisher: Springer, 2018
Hardcover