Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind

DOI10.1007/s00245-018-9519-4zbMath1441.60042OpenAlexW2888397256MaRDI QIDQ2187330

Maoudo Faramba Baldé, Ciprian A. Tudor, Khalifa Es-Sebaiy

Publication date: 2 June 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-018-9519-4

zbMATH Keywords

parameter estimationasymptotic normalityfractional Brownian motionMalliavin calculusergodicitystrong consistencymultiple Wiener-Itô integralsstochastic evolution equationsfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Gaussian and hermite Ornstein–Uhlenbeck processes, Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind

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