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  4. Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

av Corinne Berzin, Alain Latour, Jose R. Leon

del av Lecture Notes in Statistics-serien

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion av Corinne Berzin
Om Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the "Fourth Moment Theorem" is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.

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  • Språk:
  • Engelska
  • ISBN:
  • 9783319078748
  • Format:
  • Häftad
  • Sidor:
  • 169
  • Utgiven:
  • 29 Oktober 2014
  • Utgåva:
  • 2014
  • Mått:
  • 158x235x11 mm.
  • Vikt:
  • 318 g.
  Fri leverans
Leveranstid: 2-4 veckor
Förväntad leverans: 25 Juli 2024

Om Corinne Berzin

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Beskrivning av Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the "Fourth Moment Theorem" is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.

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