36426

B.L.S. Prakasa Rao

Wiley

xii, 252 p. : ill. ; 24 cm.

Wiley series in probability and statistics

Includes bibliographical references (p. [239]-249) and index

Preface -- 1 Fractional Brownian Motion and Related Processes -- 1.1 Introduction -- 1.2 Self-similar processes -- 1.3 Fractional Brownian motion -- 1.4 Stochastic differential equations driven by fBm -- 1.5 Fractional Ornstein-Uhlenbeck type process -- 1.6 Mixed fractional Brownian motion -- 1.7 Donsker type approximation for fBm with Hurst index H > -- 1.8 Simulation of fractional Brownian motion -- 1.9 Remarks on application of modelling by fBm in mathematical finance -- 1.10 Path wise integration with respect to fBm -- 2 Parametric Estimation for Fractional Diffusion Processes -- 2.1 Introduction -- 2.2 Stochastic differential equations and local asymptotic normality -- 2.3 Parameter estimation for linear SDE -- 2.4 Maximum likelihood estimation -- 2.5 Bayes estimation -- 2.6 Berry-Esseen type bound for MLE -- 2.7-upper and lower functions for MLE -- 2.8 Instrumental variable estimation -- 3 Parametric Estimation for Fractional Ornstein-Uhlenbeck Type ProcessPreface -- 1 Fractional Brownian Motion and Related Processes -- 1.1 Introduction -- 1.2 Self-similar processes -- 1.3 Fractional Brownian motion -- 1.4 Stochastic differential equations driven by fBm -- 1.5 Fractional Ornstein-Uhlenbeck type process -- 1.6 Mixed fractional Brownian motion -- 1.7 Donsker type approximation for fBm with Hurst index H > -- 1.8 Simulation of fractional Brownian motion -- 1.9 Remarks on application of modelling by fBm in mathematical finance -- 1.10 Path wise integration with respect to fBm -- 2 Parametric Estimation for Fractional Diffusion Processes -- 2.1 Introduction -- 2.2 Stochastic differential equations and local asymptotic normality -- 2.3 Parameter estimation for linear SDE -- 2.4 Maximum likelihood estimation -- 2.5 Bayes estimation -- 2.6 Berry-Esseen type bound for MLE -- 2.7-upper and lower functions for MLE -- 2.8 Instrumental variable estimation -- 3 Parametric Estimation for Fractional Ornstein-Uhlenbeck Type ProcessPreface -- 1 Fractional Brownian Motion and Related Processes -- 1.1 Introduction -- 1.2 Self-similar processes -- 1.3 Fractional Brownian motion -- 1.4 Stochastic differential equations driven by fBm -- 1.5 Fractional Ornstein-Uhlenbeck type process -- 1.6 Mixed fractional Brownian motion -- 1.7 Donsker type approximation for fBm with Hurst index H > -- 1.8 Simulation of fractional Brownian motion -- 1.9 Remarks on application of modelling by fBm in mathematical finance -- 1.10 Path wise integration with respect to fBm -- 2 Parametric Estimation for Fractional Diffusion Processes -- 2.1 Inh respect to fBm -- 2 Parametric Estimation for Fractional Diffusion Processes -- 2.1 Introduction -- 2.2 Stochastic differential equations and local asymptotic normality -- 2.3 Parameter estimation for linear SDE -- 2.4 Maximum likelihood estimation -- 2.5 Bayes estimation -- 2.6 Berry-Esseen type bound for MLE -- 2.7-upper and lower functions for MLE -- 2.8 Instrumental varia

TI , SE , TI Wiley series in probability and statistics

QA

314

.P73

2010

مويد

QA 314 .P73 2010

2010