Stochastic Differential Equations Driven by the Fractional Brownian Motion

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


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.


Fractional Brownian Motion Fractional Gaussian Noise Fitting Real Data Standard Independent Component Hurst Exponent 
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© 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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