Kubilius K., Mishura Y., Ralchenko K. Parameter Estimation in Fractional Diffusion Models

Springer International Publishing AG, 2017. — 403 p. — (Bocconi & Springer Series: Mathematics, Statistics, Finance and Economics 08). — ISBN: 331971029X.The present book is devoted to parameter estimation in diffusion continuous-time models involving fractional Brownian motion and related processes. Our models extend and generalize standard diffusion models involving a Wiener process.Description and Properties of the Basic Stochastic Models
The Hurst Index Estimators for a Fractional Brownian Motion
Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation
Parameter Estimation in the Mixed Models via Power Variations
Drift Parameter Estimation in Diffusion and Fractional Diffusion Models
The Extended Orey Index for Gaussian
Selected Facts from Mathematical and Functional Analysis
Selected Facts from Probability, Stochastic Processes and Stochastic Calculus