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Parameter Estimation for α-Fractional Bridges · Study

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ChapterParameter Estimation for α-Fractional Bridges

Khalifa Es-Sebaiy2013

Chapter2013

Parameter Estimation for α-Fractional Bridges

Khalifa Es-Sebaiy · Ivan Nourdin

32 citations·0/0 files stored·Springer proceedings in mathematics & statistics

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 2005Central limit theorems for sequences of multiple stochastic integrals 2000Integration questions related to fractional Brownian motion 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes 2003Stochastic integration with respect to the fractional Brownian motion 2007Elements of Stochastic Calculus via Regularization 2004On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals

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2011Parameter Estimation for Fractional Ornstein-Uhlenbeck Processes: Non-ergodic Casepreprint · 5 shared references 2008Analysis of the Rosenblatt processarticle · 4 shared references 2003An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameterarticle · 4 shared references 2007Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theoremarticle · 4 shared references 2007Wiener integrals, Malliavin calculus and covariance measure structurearticle · 4 shared references 2003Approximation at First and Second Order of $m$-order Integrals of the Fractional Brownian Motion and of Certain Semimartingalesarticle · 4 shared references

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Year2013

Typechapter

Published2013-01-01

VenueSpringer proceedings in mathematics & statistics

ISSN-L2194-1009

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-1-4614-5906-4_17

openalex_workW40885751

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