The rate of convergence of estimate for Hurst index of fractional   Brownian motion involved into stochastic differential equation
  We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed values of the solution. The rate of convergence of these estimates to the true value of a parameter is established. 
K. Kubilius, Y. Mishura
math.PR