| Title |
Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift / |
| Authors |
Kubilius, Kęstutis |
| DOI |
10.15388/namc.2020.25.20565 |
| Full Text |
|
| Is Part of |
Nonlinear analysis: modelling and control.. Vilnius : Vilniaus universiteto leidykla. 2020, vol. 25, no. 6, p. 1059-1078.. ISSN 1392-5113. eISSN 2335-8963 |
| Keywords [eng] |
fractional Brownian motion ; Hurst index ; backward Euler approximation ; fractional Ait-Sahalia model ; fractional CKLS model |
| Abstract [eng] |
Strongly consistent and asymptotically normal estimate 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 onstructed using the backward Euler scheme. Moreover, it is proved that the Hurst estimator preserves its properties, if we replace the solution with its approximation. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
English |
| Publication date |
2020 |
| CC license |
|
