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most citedThe rate of convergence of estimate for Hurst index of fractional Brownian motion involved into stochastic differential equation

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math.PR2011★ 32 cited

The rate of convergence of estimate for Hurst index of fractional Brownian motion involved into stochastic differential equation

K. Kubilius, Y. Mishura

We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according…