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Parameter estimation for an Ornstein-Uhlenbeck Process driven by a general Gaussian noise - MaRDI portal

Parameter estimation for an Ornstein-Uhlenbeck Process driven by a general Gaussian noise

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Publication:6335358

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DOI10.1007/S10473-021-0218-XzbMath1513.60099arXiv2002.09641MaRDI QIDQ6335358

Yong Chen, Hongjuan Zhou

Publication date: 22 February 2020

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) (L^p)-limit theorems (60F25)

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