Mixed stochastic differential equations with long-range dependence: Existence, uniqueness and convergence of solutions.
Yuliya MishuraGeorgiy ShevchenkoPublished in: Comput. Math. Appl. (2012)
Keyphrases
- stochastic differential equations
- fractional brownian motion
- long range dependence
- long range
- non stationary
- fractal dimension
- maximum a posteriori estimation
- optimal solution
- random fields
- brownian motion
- mathematical model
- probability distribution
- least squares
- sufficient conditions
- differential equations
- financial markets