Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion - Lecture Notes in Statistics - Corinne Berzin - Books - Springer International Publishing AG - 9783319078748 - October 29, 2014
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Corinne Berzin
Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion - Lecture Notes in Statistics 2014 edition

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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.

197 pages, 9 black & white illustrations, 17 colour illustrations, biography

Media Books     Paperback Book   (Book with soft cover and glued back)
Released October 29, 2014
ISBN13 9783319078748
Publishers Springer International Publishing AG
Pages 169
Dimensions 158 × 235 × 11 mm   ·   318 g
Language English  

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