Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion (Q4622807): Difference between revisions

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scientific article; zbMATH DE number 7024345

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English	Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion	scientific article; zbMATH DE number 7024345

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instance of

scholarly article

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title

Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion (English)

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author

B. L. S. Prakasa Rao

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published in

Stochastic Analysis and Applications

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publication date

18 February 2019

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zbMATH Keywords

linear stochastic differential equations

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mixed fractional Ornstein-Uhlenbeck process

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mixed fractional Brownian motion

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maximum likelihood estimation

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Bayes estimation

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consistency

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asymptotic normality

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Bernstein-von Mises theorem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07362994.2018.1462714

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cites work

Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

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A note on Wick products and the fractional Black-Scholes model

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The Bernstein-Von Mises Theorem for Markov Processes

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Mixed Gaussian processes: a filtering approach

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Mixed fractional Brownian motion

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Arbitrage in fractional Brownian motion models

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Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process

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Q4391441

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The absence of arbitrage in a model with fractal Brownian motion

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A strong law of large numbers for local martingales

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Q3995465

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Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process

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LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS

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Stochastic calculus for fractional Brownian motion and related processes.

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Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions

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Asymptotic behavior of mixed power variations and statistical estimation in mixed models

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Statistical Inference for Fractional Diffusion Processes

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OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

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Pricing geometric Asian power options under mixed fractional Brownian motion environment

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Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion

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Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion

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Q4828267

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Identifiers

zbMATH Open document ID

1411.62067

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DOI

10.1080/07362994.2018.1462714

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4622807

@@ Property / cites work @@
+Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process
+Normal rank
@@ Property / cites work @@
+A note on Wick products and the fractional Black-Scholes model
+Normal rank
@@ Property / cites work @@
+The Bernstein-Von Mises Theorem for Markov Processes
+Normal rank
@@ Property / cites work @@
+Mixed Gaussian processes: a filtering approach
@@ Property / cites work: Mixed Gaussian processes: a filtering approach / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed fractional Brownian motion
@@ Property / cites work: Mixed fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage in fractional Brownian motion models
@@ Property / cites work: Arbitrage in fractional Brownian motion models / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+The absence of arbitrage in a model with fractal Brownian motion
+Normal rank
@@ Property / cites work @@
+A strong law of large numbers for local martingales
+Normal rank
@@ Property / cites work @@
+Q3995465
@@ Property / cites work: Q3995465 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for fractional Brownian motion and related processes.
+Normal rank
@@ Property / cites work @@
+Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of mixed power variations and statistical estimation in mixed models
+Normal rank
@@ Property / cites work @@
+Q3951420
@@ Property / cites work: Q3951420 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3740809
@@ Property / cites work: Q3740809 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4264747
@@ Property / cites work: Q4264747 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4828192
@@ Property / cites work: Q4828192 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Inference for Fractional Diffusion Processes
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
+Normal rank
@@ Property / cites work @@
+Pricing geometric Asian power options under mixed fractional Brownian motion environment
+Normal rank
@@ Property / cites work @@
+Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q4828267
@@ Property / cites work: Q4828267 / rank @@
+Normal rank