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The maximum likelihood drift estimator for mixed fractional Brownian motion
mixed fractional Brownian motion maximum likelihood estimator large sample asymptotic
2012/9/18
The paper is concerned with the maximum likelihood estimator (MLE) of the unknown drift parameterθ∈Rin the continuous-time regression model Xt =θt+Bt +BHt,t ∈[0, T] whereBt is the Brownian motion and ...
Further remarks on mixed fractional Brownian motion
Fractional Brownian Motion Fractional Calculus
2010/9/15
We study linear combinations of independent fractional Brownian motions and generalize several recent results from [10] and [17]. As a first new result we calculate explicitly the Hausdorff dimension ...
On the fractional mixed fractional Brownian motion
Fractional mixed fractional Brownian motion α-differentiability
2010/9/13
In this paper, we present some stochastic properties and characteristics of the fractional mixed fractional Brownian motion, and we study the α-differentiability of its sample paths.