Parameter Estimation in Fractional Stochastic Differential Equations (Synthesis Lectures on Mathematics & Statistics)

This book discusses long memory and long range dependence for continuous time financial models.While traditional models are Markovian, which have short memory, models with long memory have not been focused on and only studied in the discrete time series modeling context.The development of increasingly complex financial models products requires the use of advanced mathematical and statistical methods.Though the mathematics behind these models are more complicated, these models are more practical from the perspectives of finance, biology, and physics.The author presents models driven by non-Gaussian fractional Levy processes, which are more useful models in these fields.In addition, the author incorporates long memory into the model by using noise driven by fractional Brownian motion, which is neither a semi martingale nor a Markov process, except the one half Hurst parameter case, where it is Brownian motion.Fractional stochastic differential equations are state-of-the art in continuous