Parameter Estimation in Stochastic Differential Equation Driven by Fractional Brownian Motion

Author

Filatova, Daria ; Grzywaczewski, Marek ; Shybanova, Elizaveta ; Zili, Mounir

Author_Institution

Russian Acad. of Sci., Moscow

fYear

2007

fDate

9-12 Sept. 2007

Firstpage

2316

Lastpage

2322

Abstract

Paper presents a methodology for estimating the parameters of stochastic differential equation (SDE) driven by fractional Brownian motion (fBm). The main idea is connected with simulated maximum likelihood. To develop this methodology two important questions: generation the fBm sample paths with different Hurst parameter values and Hurst parameter estimation methods are studied. Effectiveness of methodology is analyzed through Monte Carlo simulations.

Keywords

Brownian motion; Monte Carlo methods; differential equations; fractals; maximum likelihood estimation; stochastic processes; Hurst parameter estimation; Monte Carlo simulation; fractional Brownian motion; simulated maximum likelihood; stochastic differential equation; Brownian motion; Differential equations; Mathematical model; Mathematics; Maximum likelihood estimation; Motion estimation; Parameter estimation; Stochastic processes; White noise; Yttrium; fractal Brownian motion; parametric identification; stochastic differential equation;

fLanguage

English

Publisher

ieee

Conference_Titel

EUROCON, 2007. The International Conference on "Computer as a Tool"

Conference_Location

Warsaw

Print_ISBN

978-1-4244-0813-9

Electronic_ISBN

978-1-4244-0813-9

Type

conf

DOI

10.1109/EURCON.2007.4400579

Filename

4400579