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Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
8 references·0 citing·23 second hop
Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method (2013)Estimation of the Hurst parameter for fra…Statistical inference for fractional diffusion processes (2010)Statistical inference for fra…Statistical Inference for Fractional Diffusion Processes (2010)Statistical Inference for Fra…Milstein’s type schemes for fractional SDEs (2009)Milstein’s type schemes for f…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Numerical solution of SDE through computer experiments (1994)Numerical solution of SDE thr…Parametric optimization: Singularities, pathfollowing, and jumps (1993)Parametric optimization: Sing…Differential equations driven by rough signals (1998)Integration with respect to fractal functions and stochastic calculus. I (1998)Differential equations driven by fractional Brownian motion (2002)Discretizing the fractional Lévy area (2009)On Stratonovich and Skorohod stochastic calculus for Gaussian processes (2013)Fractional Brownian Motions, Fractional Noises and Applications (1968)The Malliavin Calculus and Related Topics (1995)Stochastic evolution equations with fractional Brownian motion (2003)The Malliavin Calculus and Related Topics (2006)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)On solving elliptic stochastic partial differential equations (2002)Equivalent linearization and Monte Carlo simulation in stochastic dynamics (2003)Construction of Equivalent Stochastic Differential Equation Models (2008)On drift parameter estimation in models with fractional Brownian motion (2014)Pricing geometric Asian power options under mixed fractional Brownian motion environment (2015)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018)Fractional stochastic differential equations with applications to finance (2012)Hybrid scheme for Brownian semistationary processes (2017)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise (2013)
this work references cited by second hop

References

  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,065 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 1994Numerical solution of SDE through computer experiments421 cited
  • 2010Statistical Inference for Fractional Diffusion Processes123 cited
  • 1993Parametric optimization: Singularities, pathfollowing, and jumps107 cited
  • 2010Statistical inference for fractional diffusion processes80 cited
  • 2009Milstein’s type schemes for fractional SDEs33 cited

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