|
VGTU talpykla >
Fundamentinių mokslų fakultetas / Faculty of Fundamental Sciences >
Moksliniai straipsniai / Research articles >
Please use this identifier to cite or link to this item:
http://dspace.vgtu.lt/handle/1/841
|
| Title: | On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractional Brownian Motion |
| Other Titles: | Apie stochastinių diferencialinių lygčių, valdomų trupmeninio Brauno judesio, sprendinių Hursto indekso įvertinių palyginimą |
| Authors: | Kubilius, Kęstutis
Melichov, Dmitrij |
| Keywords: | fractional Brownian motion
Hurst index
Ornstein-Uhlenbeck process
Black-Scholes model |
| Issue Date: | 2011 |
| Publisher: | Matematikos ir informatikos institutas |
| Citation: | Kubilius, K.; Melichov, D. 2011. On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractional Brownian Motion, Informatica 22(1): 97-114. |
| Abstract: | This paper presents a study of the Hurst index estimation in the case of fractional Ornstein-Uhlenbeck and Black-Scholes models. The performance of the estimators is studied both with respect to the value of the Hurst index and the length of sample paths. |
| URI: | http://dspace1.vgtu.lt/handle/1/841 |
| ISSN: | 0868-4952 |
| Appears in Collections: | Moksliniai straipsniai / Research articles
|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.
|
