An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter (Q2194051)

The author considers the problem of estimating the drift parameter in a stochastic differential equation driven by a fractional Brownian motion with Hurst index \(H\in (1/4,1/2).\) An \(M\)-estimator is proposed based on the completely observed data over an interval \([0,T]\). Under some regularity conditions, it is proved that the proposed estimator is consistent, asymptotically normal and has the moment convergence property as \(T\rightarrow \infty\). The method proposed, for studying the asymptotic properties, is similar to that in [\textit{I. A. Ibragimov} and \textit{R. Z. Khas'minskij}, Statistical estimation. Asymptotic theory. Transl. from the Russian by Samuel Kotz. New York etc.: Springer (1981; Zbl 0467.62026)].