On a calculable Skorokhod’s integral based projection estimator of the drift function in fractional SDE

DOI10.1007/S11203-024-09306-5MaRDI QIDQ6493984

Nicolas Marie

Publication date: 29 April 2024

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

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation in fractional diffusion models
• Some explicit statistical results about elementary fractional type models.
• Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
• Selected topics in Malliavin calculus. Chaos, divergence and so much more
• Nonparametric estimation for i.i.d. paths of fractional SDE
• Nonparametric estimation in fractional SDE
• Nonparametric inference for fractional diffusion
• A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
• Ergodic theory for SDEs with extrinsic memory
• Statistical aspects of the fractional stochastic calculus
• Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application
• Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
• On the (non)stationary density of fractional-driven stochastic differential equations

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