Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion

DOI10.1007/S11203-010-9051-XzbMath1274.62563OpenAlexW2081784806MaRDI QIDQ453783

B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date: 28 September 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-010-9051-x

zbMATH Keywords

trendstochastic differential equationfractional Brownian motionkernel methodnonparametric estimationsmall noise

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic integral equations (60H20) Foundations of stochastic processes (60G05)

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Cites Work

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• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical Inference for Fractional Diffusion Processes
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

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