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Add to list Added to list Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
Corinne Berzin,Alain Latour,Jose R. Leon
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…
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