Least squares estimation for a linear self-repelling diffusion driven by fractional Brownian motion

DOI10.1360/SCM-2017-0387zbMath1499.62092OpenAlexW2899434630MaRDI QIDQ5063994

Yaohong Gan, Litan Yan

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/scm-2017-0387

zbMATH Keywords

asymptotic distributionfractional Brownian motionleast squares estimationself-repelling diffusionMalliavin analysis

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Deviation properties for linear self-attracting diffusion process and applications ⋮ Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications ⋮ Asymptotic behaviour on the linear self-interacting diffusion driven by α-stable motion ⋮ The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications ⋮ The long time behavior of the fractional Ornstein-Uhlenbeck process with linear self-repelling drift

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