Estimation for translation of a process driven by fractional Brownian motion

Prakasa Rao, B. L. S. (2005) Estimation for translation of a process driven by fractional Brownian motion Stochastic Analysis and Applications, 23 (6). pp. 1199-1212. ISSN 0736-2994

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Related URL: http://dx.doi.org/10.1080/07362990500278725

Abstract

We investigate the general problem of estimating the translation of a stochastic process governed by a stochastic differential equation driven by a fractional Brownian motion. The special case of the Ornstein-Uhlenbeck process is discussed in particular.

Item Type:Article
Source:Copyright of this article belongs to Taylor and Francis Group.
Keywords:Estimation for Translation; Fractional Brownian Motion; Fractional Ornstein-Uhlenbeck type Process; Maximum Likelihood Estimation; Stochastic Differential Equation
ID Code:37710
Deposited On:26 Apr 2011 12:46
Last Modified:26 Apr 2011 12:46

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