Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion

DOI10.1080/07362994.2018.1555045zbMath1460.62140OpenAlexW2907010156WikidataQ128686826 ScholiaQ128686826MaRDI QIDQ5742554

B. L. S. Prakasa Rao

Publication date: 15 May 2019

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

Full work available at URL: https://doi.org/10.1080/07362994.2018.1555045

zbMATH Keywords

kernel methodnonparametric estimationsmall noiselinear stochastic differential equationmixed fractional Brownian motiontrend coefficient

Mathematics Subject Classification ID

Density estimation (62G07) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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