Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift

Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift

Strongly consistent and asymptotically normal estimates of the Hurst index H are obtained for stochastic differential equations (SDEs) that have a unique positive solution. A strongly convergent approximation of the considered SDE solution is constructed using the backward Euler scheme. Moreover, i...

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Bibliographic Details
Main Author: Kęstutis Kubilius
Format: Article
Language:English
Published: Vilnius University Press 2020-11-01
Series:Nonlinear Analysis
Subjects:
fractional Brownian motion
Hurst index
backward Euler approximation
fractional Ait-Sahalia model
fractional CKLS model
Online Access:https://www.journals.vu.lt/nonlinear-analysis/article/view/20565

Internet

https://www.journals.vu.lt/nonlinear-analysis/article/view/20565

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