Name: Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
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Author: Corinne Berzin
ISBN: 9783319078748

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion af Corinne Berzin

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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.

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Sprog:
Engelsk

ISBN:
9783319078748

Forlag:
Springer International Publishing AG

Indbinding:
Paperback

Sideantal:
169

Udgivet:
29. oktober 2014

Udgave:
2014

Størrelse:
158x235x11 mm.

Vægt:
318 g.

Leveringstid: 8-11 hverdage.
Forventet levering: 10. december 2024

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Forlænget returret til d. 31. januar 2025

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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.

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