most citedOrder estimate of functionals related to fractional Brownian motion and asymptotic expansion of the quadratic variation of fractional stochastic differential equation

2 citations · 2 across the 4 of their papers we have counts for

collaborators

4 papers

math.PR2024

Asymptotic expansion of the weighted power variation with second order differences of a stochastic differential equation driven by fBm

Hayate Yamagishi

We study a process satisfying a one-dimensional stochastic differential equation driven by fractional Brownian motion with Hurst index , and consider the weighted power vari…

math.PR2024

Asymptotic expansion of a Hurst index estimator for a stochastic differential equation driven by fBm

Hayate Yamagishi

We study the asymptotic properties of an estimator of Hurst parameter of a stochastic differential equation driven by a fractional Brownian motion with . Utilizing the the…

math.ST2022

Asymptotic expansion of an estimator for the Hurst coefficient

Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida

Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the di…

math.PR2022★ 2 cited

Order estimate of functionals related to fractional Brownian motion and asymptotic expansion of the quadratic variation of fractional stochastic differential equation

Hayate Yamagishi, Nakahiro Yoshida

We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on…