Title :
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
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;
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
DOI :
10.1109/EURCON.2007.4400579
