The rate of convergence of the Hurst index estimate for a stochastic differential equation
We consider an estimator of the Hurst parameter of stochastic differential equation with respect to a fractional Brownian motion and establish the rate of convergence of this estimator to the true value of H when the diameter of partition of observation interval tends to zero.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2017-03-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/13405 |
| _version_ | 1818384738556051456 |
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| author | Kęstutis Kubilius Viktor Skorniakov Kostiantyn Ralchenko |
| author_facet | Kęstutis Kubilius Viktor Skorniakov Kostiantyn Ralchenko |
| author_sort | Kęstutis Kubilius |
| collection | DOAJ |
| description | We consider an estimator of the Hurst parameter of stochastic differential equation with respect to a fractional Brownian motion and establish the rate of convergence of this estimator to the true value of H when the diameter of partition of observation interval tends to zero. |
| first_indexed | 2024-12-14T03:27:02Z |
| format | Article |
| id | doaj.art-7a0f356dbb374461ba5d399d0408b07f |
| institution | Directory Open Access Journal |
| issn | 1392-5113 2335-8963 |
| language | English |
| last_indexed | 2024-12-14T03:27:02Z |
| publishDate | 2017-03-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Nonlinear Analysis |
| spelling | doaj.art-7a0f356dbb374461ba5d399d0408b07f2022-12-21T23:18:51ZengVilnius University PressNonlinear Analysis1392-51132335-89632017-03-0122210.15388/NA.2017.2.9The rate of convergence of the Hurst index estimate for a stochastic differential equationKęstutis Kubilius0Viktor Skorniakov1Kostiantyn Ralchenko2Vilnius UniversityVilnius UniversityTaras Shevchenko National University of Kyiv, UkraineWe consider an estimator of the Hurst parameter of stochastic differential equation with respect to a fractional Brownian motion and establish the rate of convergence of this estimator to the true value of H when the diameter of partition of observation interval tends to zero.http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/13405fractional Brownian motionstochastic differential equationsecond-order quadratic variationsestimates of Hurst parameterrate of convergence |
| spellingShingle | Kęstutis Kubilius Viktor Skorniakov Kostiantyn Ralchenko The rate of convergence of the Hurst index estimate for a stochastic differential equation Nonlinear Analysis fractional Brownian motion stochastic differential equation second-order quadratic variations estimates of Hurst parameter rate of convergence |
| title | The rate of convergence of the Hurst index estimate for a stochastic differential equation |
| title_full | The rate of convergence of the Hurst index estimate for a stochastic differential equation |
| title_fullStr | The rate of convergence of the Hurst index estimate for a stochastic differential equation |
| title_full_unstemmed | The rate of convergence of the Hurst index estimate for a stochastic differential equation |
| title_short | The rate of convergence of the Hurst index estimate for a stochastic differential equation |
| title_sort | rate of convergence of the hurst index estimate for a stochastic differential equation |
| topic | fractional Brownian motion stochastic differential equation second-order quadratic variations estimates of Hurst parameter rate of convergence |
| url | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/13405 |
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