The rate of convergence of the Hurst index estimate for a stochastic differential equation

Nonlinear Analysis Modelling and Control ◽

10.15388/na.2017.2.9 ◽

2017 ◽

Vol 22 (2) ◽

pp. 273-284 ◽

Author(s):

Kęstutis Kubilius ◽

◽

Viktor Skorniakov ◽

Kostiantyn Ralchenko ◽

◽

...

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Rate Of Convergence ◽

Hurst Index ◽

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The rate of convergence of Hurst index estimate for the stochastic differential equation

Stochastic Processes and their Applications ◽

10.1016/j.spa.2012.06.011 ◽

2012 ◽

Vol 122 (11) ◽

pp. 3718-3739 ◽

Author(s):

K. Kubilius ◽

Y. Mishura

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Rate Of Convergence ◽

Hurst Index ◽

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Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

Random Operators and Stochastic Equations ◽

10.1515/rose.2011.021 ◽

2011 ◽

Vol 19 (4) ◽

Author(s):

Yuliya S. Mishura ◽

Georgiy M. Shevchenko

Keyword(s):

Differential Equation ◽

Brownian Motion ◽

Stochastic Differential Equation ◽

Fractional Brownian Motion ◽

Rate Of Convergence

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On the rate of convergence of an unstable solution of a stochastic differential equation

Ukrainian Mathematical Journal ◽

10.1007/bf01066105 ◽

1994 ◽

Vol 46 (10) ◽

pp. 1573-1577

Author(s):

G. U. Mynbaeva

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Rate Of Convergence ◽

Unstable Solution

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Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation

Bocconi & Springer Series - Parameter Estimation in Fractional Diffusion Models ◽

10.1007/978-3-319-71030-3_3 ◽

2017 ◽

pp. 75-123

Author(s):

Kęstutis Kubilius ◽

Yuliya Mishura ◽

Kostiantyn Ralchenko

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

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An estimate of the rate of convergence of an approximating scheme applied to a stochastic differential equation with an additional parameter

Theory of Probability and Mathematical Statistics ◽

10.1090/s0094-9000-2011-00828-9 ◽

2011 ◽

Vol 82 ◽

pp. 75-85

Author(s):

Yu. S. Mishura ◽

A. V. Shvaĭ

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Rate Of Convergence ◽

Additional Parameter

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Approximate controllability of a second-order neutral stochastic differential equation with state-dependent delay

Nonlinear Analysis Modelling and Control ◽

10.15388/na.2016.6.2 ◽

2016 ◽

Vol 21 (6) ◽

pp. 751-769 ◽

Author(s):

Sanjukta Das ◽

◽

Dwijendra N. Pandey ◽

Nagarajan Sukavanam ◽

◽

...

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Approximate Controllability ◽

Second Order ◽

State Dependent ◽

State Dependent Delay

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Absolute Stability in Mean-Square of the Lourie-Ito-Skorokhod Stochastic Differential Equation

Journal of Automation and Information Sciences ◽

10.1615/jautomatinfscien.v40.i7.10 ◽

2008 ◽

Vol 40 (7) ◽

pp. 1-8

Author(s):

Andrey Ya. Dovgun ◽

Lyubov I. Yasinskaya

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Absolute Stability ◽

Mean Square ◽

Stability In Mean Square

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Application of Aboodh Transform to the Solution of Stochastic Differential Equation

Journal of Advanced Research in Applied Mathematics and Statistics ◽

10.24321/2455.7021.201802 ◽

2018 ◽

Vol 03 (04) ◽

pp. 12-18

Author(s):

Bright Okore Osu ◽

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation

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Gaussian process enhanced semi-automatic approximate Bayesian computation: parameter inference in a stochastic differential equation system for chemotaxis

Journal of Computational Physics ◽

10.1016/j.jcp.2020.109999 ◽

2020 ◽

pp. 109999

Author(s):

Agnieszka Borowska ◽

Diana Giurghita ◽

Dirk Husmeier

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Gaussian Process ◽

Approximate Bayesian Computation ◽

Equation System ◽

Bayesian Computation ◽

Differential Equation System ◽

Parameter Inference ◽

Approximate Bayesian

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On the backward stochastic differential equation with generator f(y)|z|2

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2021.125102 ◽

2021 ◽

Vol 500 (1) ◽

pp. 125102

Author(s):

Shiqiu Zheng ◽

Lidong Zhang ◽

Lichao Feng

Keyword(s):

Differential Equation ◽

Stochastic Differential Equation ◽

Backward Stochastic Differential Equation

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