Loading...
Please wait, while we are loading the content...
Similar Documents
Parameter estimation for stochastic equations with additive fractional Brownian sheet (2007)
| Content Provider | CiteSeerX |
|---|---|
| Author | Sottinen, Tommi Tudor, Ciprian A. |
| Abstract | We study the maximum likelihood estimator for stochastic equations with additive fractional Brownian sheet. We use the Girsanov transform for the the two-parameter fractional Brownian motion, as well as the Malliavin calculus and Gaussian regularity theory. |
| File Format | |
| Publisher Date | 2007-01-01 |
| Access Restriction | Open |
| Subject Keyword | Stochastic Equation Additive Fractional Brownian Sheet Parameter Estimation Gaussian Regularity Theory Maximum Likelihood Estimator Two-parameter Fractional Brownian Motion Girsanov Transform Malliavin Calculus |
| Content Type | Text |