Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
From MaRDI portal
Publication:2242070
DOI10.1016/j.amc.2020.125927OpenAlexW3119241165WikidataQ115361146 ScholiaQ115361146MaRDI QIDQ2242070
Min Dai, Junjun Liao, Jin-qiao Duan, Xiang Jun Wang
Publication date: 9 November 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.01412
maximum likelihood estimationfractional Brownian motionstochastic differential equationsrandom effectsGirsanov-type formula
Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On asymptotics related to classical inference in stochastic differential equations with random effects
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Stochastic calculus for fractional Brownian motion and related processes.
- Parameter estimation for fractional diffusion process with discrete observations
- Estimation for stochastic differential equations with mixed effects
- Stochastic Differential Mixed-Effects Models
- Statistical Inference for Fractional Diffusion Processes
- Mixed-Effects Models in S and S-PLUS
- Approximate Inference in Generalized Linear Mixed Models
- On the prediction of fractional Brownian motion
- Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Parameter estimation and optimal filtering for fractional type stochastic systems
