Parameter estimation of stochastic differential equation driven by small fractional noise

DOI10.1080/02331888.2022.2098960OpenAlexW4221158105WikidataQ114100907 ScholiaQ114100907MaRDI QIDQ5095847

Yasutaka Shimizu, Shohei Nakajima

Publication date: 11 August 2022

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.00372

zbMATH Keywords

stochastic differential equationparameter estimationasymptotic normalityfractional Brownian motionsmall noise

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise ⋮ Asymptotic inference for stochastic differential equations driven by fractional Brownian motion

Cites Work

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• Information criteria for small diffusions via the theory of Malliavin-Watanabe
• Regularization of differential equations by fractional noise.
• Conditional expansions and their applications.
• Statistical aspects of the fractional stochastic calculus
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