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Stochastic Differential Equations Driven by the Fractional Brownian Motion

Chapter
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Part of the Use R! book series (USE R)

Abstract

This chapter, after introducing the fractional Brownian motion and its properties, considers the problem of stochastic differential equations driven by fractional Gaussian noise. Estimation for such linear models is also treated in full details with real data fitting. Full R code for completing the above analyses with yuima package is provided.

Keywords

Fractional Brownian Motion Fractional Gaussian Noise Fitting Real Data Standard Independent Component Hurst Exponent 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Economics, Management and Quantitative MethodsUniversity of MilanMilanItaly
  2. 2.Graduate School of Mathematical SciencesUniversity of TokyoTokyoJapan

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