Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise

DOI10.1007/s10473-021-0218-xOpenAlexW3127744230MaRDI QIDQ2154864

Yanyan Li

Publication date: 15 July 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.09641

zbMATH Keywords

Gaussian processMalliavin calculusOrnstein-Uhlenbeck processfourth moment theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) (L^p)-limit theorems (60F25)

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Cites Work

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