Parameter estimation of stochastic differential equation driven by small fractional noise
Statistics Theory
2022-01-04 v1 Statistics Theory
Abstract
We study the problem of parametric estimation for continuously observed stochastic processes driven by additive small fractional Brownian motion with Hurst index 0<H<1/2 and 1/2<H<1. Under some assumptions on the drift coefficient, we obtain the asymptotic normality and moment convergence of maximum likelihood estimator of the drift parameter .
Cite
@article{arxiv.2201.00372,
title = {Parameter estimation of stochastic differential equation driven by small fractional noise},
author = {Shohei Nakajima and Yasutaka Shimizu},
journal= {arXiv preprint arXiv:2201.00372},
year = {2022}
}