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ArticleEstimation of the Hurst parameter for fractional Brownian motion using the CMARS method

Fatma Yerlikaya Özkurt2013

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Articlebronze2013

Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method

Fatma Yerlikaya Özkurt · Ceren Vardar-Acar · Yeliz Yolcu Okur · Gerhard‐Wilhelm Weber

25 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

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References

2008Stochastic Calculus for Fractional Brownian Motion and Applications 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes 2001Stochastic Calculus with Respect to Gaussian Processes 1994Numerical solution of SDE through computer experiments 2010Statistical Inference for Fractional Diffusion Processes 1993Parametric optimization: Singularities, pathfollowing, and jumps 2010Statistical inference for fractional diffusion processes 2009Milstein’s type schemes for fractional SDEs

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Year2013

Typearticle

Published2013-08-22

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2013.08.001

openalex_workW2067936740

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