Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion
Pospíšil, Jan
Programs and Algorithms of Numerical Mathematics, GDML_Books, (2006), p. 208-213 / Harvested from
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We solve the one-dimensional stochastic heat equation driven by fractional Brownian motion using the modified Euler-Maruyama finite differences method. We use the numerical solution as our observation and we show how to estimate the drift parameter from a one path only.

EUDML-ID : urn:eudml:doc:271354 
@article{702839,
     title = {Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion},
     booktitle = {Programs and Algorithms of Numerical Mathematics},
     series = {GDML\_Books},
     publisher = {Institute of Mathematics AS CR},
     address = {Prague},
     year = {2006},
     pages = {208-213},
     url = {http://dml.mathdoc.fr/item/702839}
}

Pospíšil, Jan. Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion, dans Programs and Algorithms of Numerical Mathematics, GDML_Books,  (2006), pp. 208-213. http://gdmltest.u-ga.fr/item/702839/