Drift Parameter Estimation in the Models Involving Fractional Brownian Motion

Drift Parameter Estimation in Diffusion and Fractional Diffusion Models

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Fractional Differential Equations Solutions

Maximum Likelihood Drift Estimation for Gaussian Process with Stationary Increments

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Fractional Differential Equations Solutions

Fractional diffusion Bessel processes with Hurst index <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si2.svg" display="inline" id="d1e198"> <mml:mrow> <mml:mi>H</mml:mi> <mml:mo linebreak="goodbreak" linebreakstyle="after">∈</mml:mo> <mml:mrow> <mml:mo>(</mml:mo> <mml:mn>0</mml:mn> <mml:mo>,</mml:mo> <mml:mfrac> <mml:mrow> <mml:mn>1</mml:mn> </mml:mrow> <mml:mrow> <mml:mn>2</mml:mn> </mml:mrow> </mml:mfrac> <mml:mo>)</mml:mo> </mml:mrow> </mml:mrow> </mml:math>

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Fractional Differential Equations Solutions

Integral representation with respect to fractional Brownian motion under a log-Hölder assumption

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Fractional Differential Equations Solutions

Smooth approximations for fractional and multifractional fields

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Fractional Differential Equations Solutions

Monte-Carlo method for option pricing in sub-diffusive arithmetic models

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Fractional Differential Equations Solutions