Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise

DOI10.1080/07362994.2021.1972815OpenAlexW3205895086MaRDI QIDQ5046309

B. L. S. Prakasa Rao

Publication date: 28 October 2022

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

Full work available at URL: https://arxiv.org/abs/2104.03552

zbMATH Keywords

fractional Brownian motionnonparametric estimationstochastic differential equation with delayestimation of trendkernel method of estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
• Statistical inference for ergodic diffusion processes.
• On some maximal inequalities for fractional Brownian motions
• Asymptotic inference for a linear stochastic differential equation with time delay
• Statistical Inference for Fractional Diffusion Processes
• A stochastic delay financial model
• Financial Markets with Memory I: Dynamic Models
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
• Maximal Inequalities for Fractional Brownian Motion: An Overview
• ON DELAY ESTIMATION FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• The lyapunov spectrum and stable manifolds for stochastic linear delay equations
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

This page was built for publication: Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise