Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects

DOI10.1080/03610926.2021.1980048arXiv2104.14888OpenAlexW3203307450MaRDI QIDQ6107553

B. L. S. Prakasa Rao

Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.14888

zbMATH Keywords

stochastic differential equationmaximum likelihood estimationrandom effectsmixed fractional Brownian motion

Mathematics Subject Classification ID

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

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