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Drift estimation for rough processes under small noise asymptotic : trajectory fitting method

Statistics Theory 2026-05-21 v2 Statistics Theory

Abstract

We consider a process X\veX^\ve that solves a stochastic Volterra equation with an unknown parameter θ\theta^\star in the drift function. The Volterra kernel is singular, and includes as an example, K_0(u)=cuα1/2\idu>0K\_0(u)=c u^{\alpha-1/2} \id{u>0} with α(0,1/2)\alpha \in (0,1/2). It is assumed that the diffusion coefficient is proportional to \ve0\ve \to 0. From an observation of the path (X\ve_s)_s[0,T](X^\ve\_s)\_{s\in[0,T]}, we construct a Trajectory Fitting Estimator, which is shown to be consistent and asymptotically normal. We also specify identifiability conditions insuring the LpL^p convergence of the estimator.

Keywords

Cite

@article{arxiv.2503.03347,
  title  = {Drift estimation for rough processes under small noise asymptotic : trajectory fitting method},
  author = {Arnaud Gloter and Nakahiro Yoshida},
  journal= {arXiv preprint arXiv:2503.03347},
  year   = {2026}
}
R2 v1 2026-06-28T22:07:35.567Z