Parameter estimation for fractional diffusion process with discrete observations

DOI10.1155/2019/9036285zbMath1418.62290OpenAlexW2910596778MaRDI QIDQ2631908

Yuxia Su, Yutian Wang

Publication date: 16 May 2019

Published in: Journal of Function Spaces (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/9036285

zbMATH Keywords

parameter estimationfractional Brownian motionHurst parameterDonsker type approximate formulafractional diffusion process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion

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