Parameter Estimation in Fractional Diffusion Models

by Kostiantyn Ralchenko, Yuliya Mishura, Kstutis Kubilius

Book Overview

This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has...

• Format: Paperback
• Language: English
• ISBN: 331989031X
• ISBN13: 9783319890319
• Release Date: June 2019
• Publisher: Springer
• Length: 390 Pages
• Weight: 1.27 lbs.
• Dimensions: 0.8" x 6.1" x 9.2"