| Title:
|
Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion (English) |
| Author:
|
Pospíšil, Jan |
| Language:
|
English |
| Journal:
|
Programs and Algorithms of Numerical Mathematics |
| Volume:
|
Proceedings of Seminar. Prague, May 28-31, 2006 |
| Issue:
|
2006 |
| Year:
|
|
| Pages:
|
208-213 |
| . |
| Category:
|
math |
| . |
| 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. () |
| . |
| Date available:
|
2015-09-08T11:28:47Z |
| Last updated:
|
2023-06-05 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/702839 |
| . |
