Parameter Estimation in Fractional Diffusion Models
Kestutis Kubilius, Kostiantyn Ralchenko, Yuliya Mishura
Springer International Publishing AG, 2019
145,75 €On orderDelivery: 2-3 weeks
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.
- ISBN-13
- 9783319890319
- ISBN-10
- 331989031X
- Publisher
- Springer International Publishing AG
- Year
- 2019
- Publication date
- 2019-06-06
- Pages
- 390
- Dimensions
- 235x155x