On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

Differential equations driven by fractional Brownian motion

David Nualart, Aurel Răşcanu · Dipòsit Digital de la Universitat de Barcelona (Universitat de Barcelona) · 2002 · 436 citations · Full text

Engineering, Mathematics, Physics +14

Quadratic variations and estimation of the local Hölder index of a Gaussian process

Jacques Istas, Gabriel Lang · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 1997 · 351 citations · Full text

Engineering, Economics, Probability Theory +8

Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young

Terry Lyons · Mathematical Research Letters · 1994 · 173 citations · Full text

Natural Sciences, Mathematics, Differential Equations +14

Identification of filtered white noises

Albert Benassi, Serge Cohen, Jacques Istas et al. · Stochastic Processes and their Applications · 1998 · 66 citations

Natural Sciences, Physics, Acoustics +6

Exact confidence intervals for the Hurst parameter of a fractional Brownian motion

Jean-Christophe Breton, Ivan Nourdin, Giovanni Peccati · Electronic Journal of Statistics · 2009 · 32 citations · Full text

Engineering, Mathematics, Probability Theory +14