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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
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
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