Inference on the hurst parameter and the variance of diffusions driven by fractional brownian motion
Auteur :
Berzin, Corinne / Latour, Alain / León, José R.
Éditeur :
Springer International Publishing AG
ISBN :
9783319078748
Date de publication :
29 oct. 2014
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the “Fourth Moment Theorem†is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.