Approximating some Volterra type stochastic integrals with applications to parameter estimation.

DOI10.1016/S0304-4149(02)00250-8zbMath1075.60532MaRDI QIDQ2574562

Henrik Hult

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionGaussian processlikelihood functionreproducing kernel Hilbert space

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Stochastic integral equations (60H20)

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