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Parameter estimation in fractional diffusion models

Author: Kęstutis Kubilius; I︠U︡lii︠a︡ S Mishura; Kostiantyn Ralchenko
Publisher: Cham : Springer, 2018.
Series: Bocconi & Springer series, 8.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of  Read more...

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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Kęstutis Kubilius; I︠U︡lii︠a︡ S Mishura; Kostiantyn Ralchenko
ISBN: 9783319710303 3319710303
OCLC Number: 1018307728
Description: 1 online resource.
Contents: 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.
Series Title: Bocconi & Springer series, 8.
Responsibility: Kȩstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko.

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"The book presents various diffusion models with memory and provides effective methods for parameter estimation in these models. It may be interesting for researchers and practitioners, graduate and Read more...

 
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