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: | Kęstutis Kubilius, Viktor Skorniakov, Kostiantyn Ralchenko |
---|---|
Format: | Article |
Language: | English |
Published: |
Vilnius University Press
2017-03-01
|
Series: | Nonlinear Analysis |
Subjects: | |
Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/13405 |
Similar Items
-
On estimation of the Hurst index of solutions of stochastic integral equations
by: Kęstutis Kubilius, et al.
Published: (2008-12-01) -
Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
by: Davood Ahmadian, et al.
Published: (2019-03-01) -
On the convergence rates of Gladyshev’s Hurst index estimator
by: K. Kubilius, et al.
Published: (2010-10-01) -
Estimating the Hurst index of the solution of a stochastic integral equation
by: Kęstutis Kubilius, et al.
Published: (2009-12-01) -
Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
by: Kęstutis Kubilius
Published: (2020-11-01)