Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

Abstract:	ABSTRACT Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of the underlying processes.

Keywords:	Fractional Brownian motion Hurst index volatility Black–Scholes model Verhulst equation Landau–Ginzburg equation consistent estimator