Kęstutis Kubilius
Yuliya Mishura
Kostiantyn Ralchenko
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Parameter Estimation in Fractional Diffusion Models
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Description
This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion.
Specifications
Publisher
Springer International Publishing AG
Pub date
Feb. 1, 2018
Pages
19
Theme
Probability and statistics
Measurements
235 x 155 mm
EAN
9783319710297
Binding
Hardback / bound
Language
English