Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

We prove that a class of weighted semilinear reaction diffusion equations on R" generates gradient-like semiflows on the Banach space of bounded uniformly continuous functions

Moreover, we show that the resulting stochastic integral satisfies a change of variable formula with a correction term that is an ordinary Itô integral with respect to a Brownian

This line of research started with the seminal work of Taylor ( 1955 ), who was the first to study the Hausdorff dimensions of the level sets in the case of a standard Brownian

Abstract: In this short note, we show how to use concentration inequal- ities in order to build exact confidence intervals for the Hurst parameter associated with a

Le sélexipag (Uptravi® ; ▼ chapitre 1.13. ) est un agoniste sélectif des récepteurs de la prostacycline (IP) qui a pour indication le traitement de l’hypertension artérielle

An analytical expression for the relative variance (or variability) of the electric power measured on a reference antenna has been derived by using a modal expansion of the

Qian (2002): Sto hasti rough path analysis and fra tional Brownian

One consequence is an Itˆ o-Stratonovich type expansion for the fractional Brownian motion with arbitrary Hurst index H ∈]0, 1[.. On the other hand we show that the classical