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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Format: | Article |
Language: | English |
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Vilnius University Press
2020-11-01
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Series: | Nonlinear Analysis |
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Online Access: | https://www.journals.vu.lt/nonlinear-analysis/article/view/20565 |