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Items for "fractional Brownian motion"

Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion

Consider a linear stochastic differential equation

With time delay driven by a fractional Brownian motion ...

Keywords: Linear stochastic differential equation, time delay, fractional Ornstein-Uhlenbeck type process, fractional Brownian motion, maximum likelihood estimation, consistency, local asymptotic normality, local asymptotic mixed normality

01/2008 | Random Operators and Stochastic Equations, Walter de Gruyter

∈-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

We investigate ∈-upper and lower class functions for the maximum likelihood estimator of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by fractional Brownian motion.

Keywords: Linear stochastic differential equations, fractional Ornstein-Uhlenbeck type process, fractional Brownian motion, maximum likelihood estimation, upper function; lower function

01/2008 | Random Operators and Stochastic Equations, Walter de Gruyter

A quasilinear stochastic partial differential equation driven by fractional white noise

The objective of the paper is to give the representation of a solution of a quasilinear stochastic partial differential equation driven by scalar fractional Brownian motion B_H(t), H (, 1), in the white noise framework for fractional Brownian motion...

Keywords: fractional Brownian motion, fractional white noise, SPDE

01/2008 | Monte Carlo Methods and Applications, Walter de Gruyter

Energy of the stochastic wave equation driven by a fractional Gaussian noise

We consider a general linear stochastic wave equation driven by fractional-in-time noise. We solve the equation and study its energy...

Keywords: Energy, wave equation, fractional Brownian motion