Related papers: Parameter estimation of stochastic differential eq…
We study the problem of parametric estimation for continuously observed stochastic differential equation driven by fractional Brownian motion. Under some assumptions on drift and diffusion coefficients, we construct maximum likelihood…
In this paper, we consider the problem of estimating the drift parameter of solution to the stochastic differential equation driven by a fractional Brownian motion with Hurst parameter less than $1/2$ under complete observation. We derive a…
We investigate the problem of joint statistical estimation of several parameters for a stochastic differential equation driven by an additive fractional Brownian motion. Based on discrete-time observations of the model, we construct an…
Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of…
We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…
In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with $H<1/2$. As an auxiliary result, we also prove the…
We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…
We study parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter $H\in(0,1)$. Two classes of estimators are investigated: traditional…
We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The estimator is based on the discretely observed stochastic…
Strongly consistent and asymptotic normal estimators of the Hurst index of a stochastic differential equation driven by a fractional Brownian motion are proposed. The estimators are based on discrete observations of the underlying process.
Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.
We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of…
We derive the strong consistency of the least squares estimator for the drift coefficient of a fractional stochastic differential system. The drift coeffcient is one-sided dissipative Lipschitz and the driving noise is additive and…
This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. Consistent estimation in the setup under consideration is possible only if either the length of the…
We investigate the problem of estimating the drift parameter from $N$ independent copies of the solution of a stochastic differential equation driven by a multiplicative fractional Brownian noise with Hurst parameter $H\in (1/3,1)$.…
We estimate the Hurst parameter $H$ of a fractional Brownian motion from discrete noisy data observed along a high frequency sampling scheme. The presence of systematic experimental noise makes recovery of $H$ more difficult since relevant…
We consider the problem of efficient estimation for the drift of fractional Brownian motion $B^H:=(B^H_t)_{t\in[0,T]}$ with hurst parameter $H$ less than 1/2. We also construct superefficient James-Stein type estimators which dominate,…
We consider the problem of Hurst index estimation for solutions of stochastic differential equations driven by an additive fractional Brownian motion. Using techniques of the Malliavin calculus, we analyze the asymptotic behavior of the…
We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…
We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard…