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Parameter estimation for the Langevin equation with stationary-increment Gaussian noise · Study

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ArticleParameter estimation for the Langevin equation with stationary-increment Gaussian noise

Tommi Sottinen2017

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Articlegreen2017

Parameter estimation for the Langevin equation with stationary-increment Gaussian noise

Tommi Sottinen · Lauri Viitasaari

28 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Fractional Differential Equations Solutions

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References

2006The Malliavin Calculus and Related Topics 2008Stochastic Calculus for Fractional Brownian Motion and Applications 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes 2003Fractional Ornstein-Uhlenbeck processes 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process 2005On bifractional Brownian motion 2011On fractional Ornstein-Uhlenbeck processes

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Year2017

Typearticle

Published2017-01-24

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11203-017-9156-6

openalex_workW2289901709

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