Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion

DOI10.1142/S0219493714500026zbMath1291.60131OpenAlexW2054852495MaRDI QIDQ5170137

Jiang Hui

Publication date: 18 July 2014

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493714500026

zbMATH Keywords

fractional Brownian motionmoderate deviationsstochastic parabolic equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Strong limit theorems (60F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Estimation in survival analysis and censored data (62N02)

Related Items (1)

Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift

Cites Work

• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Stochastic analysis of the fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Stochastic evolution equations with fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process
• Sharp Large Deviations for the Ornstein--Uhlenbeck Process
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION

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