Add to ORKGAsymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.Comment: 34 pages, 10 figure
In this note, we investigate the density of the exponential functional of the fractional Brownian mo...
AbstractWe consider fractional Brownian motions BtH with arbitrary Hurst coefficients 0<H<1 and prov...
AbstractIn this article we present a method for developing certain Wiener integrals in an asymptotic...
Although statistical inference in stochastic differential equations (SDEs) driven by Wiener process ...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
17 pagesWe study the asymptotic developments with respect to $h$ of E[D_h f(X_t)], E[D_h f(X_t)|F_t]...
In my talk I will discuss so-called “mixed ” models involving fractional Brownian motion and Wiener ...
Define the incremental fractional Brownian field Z(H)(tau, S) = B-H (S+tau) By (S), H E (0, 1), wher...
http://www.math.washington.edu/~ejpecp/International audienceWe consider a fractional Brownian motio...
International audience\noindent We study the asymptotic behavior as $n\to \infty$ of the sequence $$...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
This paper presents the convergence rates for a modified Gladyshev's estimator of the Hurst index of...
Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-corre...
textabstractLet $B$ be a fractional Brownian motion with Hurst index $H ge 1/2$. Denote by $x_1 < x_...
International audienceLet {bH(t),t∈R} be a fractional Brownian motion with parameter 0 < H < 1...
In this note, we investigate the density of the exponential functional of the fractional Brownian mo...
AbstractWe consider fractional Brownian motions BtH with arbitrary Hurst coefficients 0<H<1 and prov...
AbstractIn this article we present a method for developing certain Wiener integrals in an asymptotic...
Although statistical inference in stochastic differential equations (SDEs) driven by Wiener process ...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
17 pagesWe study the asymptotic developments with respect to $h$ of E[D_h f(X_t)], E[D_h f(X_t)|F_t]...
In my talk I will discuss so-called “mixed ” models involving fractional Brownian motion and Wiener ...
Define the incremental fractional Brownian field Z(H)(tau, S) = B-H (S+tau) By (S), H E (0, 1), wher...
http://www.math.washington.edu/~ejpecp/International audienceWe consider a fractional Brownian motio...
International audience\noindent We study the asymptotic behavior as $n\to \infty$ of the sequence $$...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
This paper presents the convergence rates for a modified Gladyshev's estimator of the Hurst index of...
Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-corre...
textabstractLet $B$ be a fractional Brownian motion with Hurst index $H ge 1/2$. Denote by $x_1 < x_...
International audienceLet {bH(t),t∈R} be a fractional Brownian motion with parameter 0 < H < 1...
In this note, we investigate the density of the exponential functional of the fractional Brownian mo...
AbstractWe consider fractional Brownian motions BtH with arbitrary Hurst coefficients 0<H<1 and prov...
AbstractIn this article we present a method for developing certain Wiener integrals in an asymptotic...