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Article

Pospíšil, Jan
Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion. (English). In: Chleboun, J., Segeth, K. and Vejchodský, T. (eds.): Programs and Algorithms of Numerical Mathematics. Proceedings of Seminar. Prague, May 28-31, 2006. Institute of Mathematics AS CR, Prague, 2006. pp. 208-213
Summary:
We solve the one-dimensional stochastic heat equation driven by fractional Brownian motion using the modified Euler-Maruyama finite differences method. We use the numerical solution as our observation and we show how to estimate the drift parameter from a one path only.
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