Nonparametric identification method of stochastic differential equation with fractal Brownian motion

• Autorzy: Filatova D. , Grzywaczewski M.
• Języki publikacji: EN

Abstrakty

EN

This Paper presents a methodology for estimating the parameters of stochastic differential equation (SDE) driven by froctional Brownian motion (fBm). The main idea is connected with simulated maximum likelihood.To develop the methodology, two iimportant questions, namely how to generote fBm sample paths with different values of the Hurst parameter and how to estimate Hurst parometer are studied. Aa Effectiveness of the methodology is analyzed through Monte Carlo simulations.

Słowa kluczowe

EN

parameters estimation; identification

• Wydawca: Łukasiewicz Industrial Research Institute for Automation and Measurements PIAP
• Czasopismo: Journal of Automation Mobile Robotics and Intelligent Systems
• Rocznik: 2007
• Tom: Vol. 1, No. 2
• Strony: 45--49
• Opis fizyczny: Bibliogr. 13 poz., rys.

Twórcy

autor

Filatova D.

autor

Grzywaczewski M.

• Russian Academy of Sciences, Vaviliva 40, Moscow, 119991 Russia, tel./fax. [phone](228),

Bibliografia

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