SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Least squares estimation for ornstein-uhlenbeck processes driven by the weighted fractional brownian motion
16 references·0 citing·36 second hop
Least squares estimation for ornstein-uhlenbeck processes driven by the weighted fractional brownian motion (2016)Least squares estimation for ornstein-uhl…Berry–Esséen bounds for the least squares estimator for discretely observed fractional Ornstein–Uhlenbeck processes (2013)Berry–Esséen bounds for the l…Parametric estimation for sub-fractional Ornstein–Uhlenbeck process (2012)Parametric estimation for sub…Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Parameter estimation for frac…Least squares estimator for Ornstein–Uhlenbeck processes driven by α -stable motions (2009)Least squares estimator for O…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…Parameter estimation for Ornstein-Uhlenbeck processes driven by α-stable Lévy motions (2007)Parameter estimation for Orns…Central limit theorems for multiple stochastic integrals and Malliavin calculus (2007)Central limit theorems for mu…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Integral transformations and anticipative calculus for fractional Brownian motions (2005)Integral transformations and …Stochastic integration with respect to the fractional Brownian motion (2003)Stochastic integration with r…Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion (2003)Parametric estimation for lin…Parameter estimation for some non-recurrent solutions of SDE (2003)Parameter estimation for some…Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Statistical Analysis of the F…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Integration questions related to fractional Brownian motion (2000)Integration questions related…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Statistical aspects of the fractional stochastic calculus (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Integration with respect to fractal functions and stochastic calculus. I (1998)Fractional Ornstein-Uhlenbeck processes (2003)Stochastic integration with respect to fractional brownian motion (2003)Multiple Wiener Integral (1951)Central limit theorems for sequences of multiple stochastic integrals (2005)Stein’s method on Wiener chaos (2008)Stein’s method and Normal approximation of Poisson functionals (2010)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation (2011)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)Independence and Dependence (1961)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Typical Spectral Shape of an Economic Variable (2001)Stochastic Analysis (1997)An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)Analysis of the Rosenblatt process (2008)The Malliavin Calculus and Related Topics (1995)Differential equations driven by fractional Brownian motion (2002)Stochastic evolution equations with fractional Brownian motion (2003)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (2006)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)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2 (2007)Fractional Brownian motion: stochastic calculus and applications (2007)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,727 cited
  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2000Integration questions related to fractional Brownian motion357 cited
  • 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes299 cited
  • 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process267 cited
  • 2003Stochastic integration with respect to the fractional Brownian motion228 cited
  • 2007Central limit theorems for multiple stochastic integrals and Malliavin calculus221 cited
  • 2005Integral transformations and anticipative calculus for fractional Brownian motions200 cited
  • 2009Least squares estimator for Ornstein–Uhlenbeck processes driven by α -stable motions95 cited
  • 2003Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion54 cited
  • 2007Parameter estimation for Ornstein-Uhlenbeck processes driven by α-stable Lévy motions49 cited
  • 2012Parametric estimation for sub-fractional Ornstein–Uhlenbeck process47 cited
  • 2003

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Parameter estimation for some non-recurrent solutions of SDE
46 cited
  • 2013Berry–Esséen bounds for the least squares estimator for discretely observed fractional Ornstein–Uhlenbeck processes39 cited
  • Cited by

    No citing works inside the corpus for this window.