Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion

Pospíšil, Jan. "Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion." Programs and Algorithms of Numerical Mathematics. Prague: Institute of Mathematics AS CR, 2006. 208-213. <http://eudml.org/doc/271354>.

@inProceedings{Pospíšil2006,
abstract = {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.},
author = {Pospíšil, Jan},
booktitle = {Programs and Algorithms of Numerical Mathematics},
keywords = {history of mathematics; Bedřich Pospíšil},
location = {Prague},
pages = {208-213},
publisher = {Institute of Mathematics AS CR},
title = {Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion},
url = {http://eudml.org/doc/271354},
year = {2006},
}

TY - CLSWK
AU - Pospíšil, Jan
TI - Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion
T2 - Programs and Algorithms of Numerical Mathematics
PY - 2006
CY - Prague
PB - Institute of Mathematics AS CR
SP - 208
EP - 213
AB - 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.
KW - history of mathematics; Bedřich Pospíšil
UR - http://eudml.org/doc/271354
ER -