Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion

DOI10.1155/2014/942307zbMath1474.62299OpenAlexW1971654336WikidataQ59043010 ScholiaQ59043010MaRDI QIDQ1725334

Na Song, Zai-Ming Liu

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/942307

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations ⋮ Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects ⋮ Fractional processes and their statistical inference: an overview ⋮ Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion ⋮ Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• On the mixed fractional Brownian motion
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Existence of mild solutions to stochastic neutral partial functional differential equations with non-Lipschitz coefficients
• Distribution function inequalities for martingales
• On minimum \(L_ 1\)-norm estimate of the parameter of the Ornstein- Uhlenbeck process
• Statistical inference for ergodic diffusion processes.
• Mixed fractional Brownian motion
• The ``automatic robustness of minimum distance functionals
• On some maximal inequalities for fractional Brownian motions
• Minimum \(L_1\)-norm estimation for mixed fractional Ornstein-Uhlenbeck type process
• Stability in distribution of mild solutions to stochastic partial differential equations
• A General Approach to the Optimality of Minimum Distance Estimators
• Asymptotique de l'estimateur de distance minimale du paramètre du processus d'Ornstein-Uhlenbeck
• Asymptotics of minimum distance estimator of the parameter of stochastic process driven by a fractional Brownian motion
• Maximum-likelihood estimators in the mixed fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• On Moment Inequalities for Stochastic Integrals

This page was built for publication: Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion