分数阶布朗运动驱动的随机微分方程的Nadaraya-Watson估计

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2023-11-16 DOI:10.1080/15326349.2023.2275298

Yuecai Han, Dingwen Zhang

引用次数: 0

摘要

本文研究了Hurst参数H为分数阶布朗运动的随机微分方程漂移函数的非参数Nadaraya-Watson估计量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion

In this article, we investigate the nonparametric Nadaraya-Watson estimator for the drift function of stochastic differential equations driven by fractional Brownian motion of the Hurst parameter H...

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.