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Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models.
Pierre Raphaël Bertrand
Jean-Louis Combes
Marie-Eliette Dury
Doha Hadouni
Published in:
Risk Decis. Anal. (2018)
Keyphrases
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brownian motion
stochastic processes
stochastic process
differential equations
diffusion process
poisson process
optimal control
heavy traffic
probabilistic model
terrain modeling
vector valued
stochastic model
random fields
parameter estimation
closed form solutions
probability distribution
dynamic programming