Nonparametric estimation of the trend in reflected fractional SDE (Q2288811)

The paper is devoted to the nonparametric estimation of the trend in reflected fractional SDE. The author considers the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process. More precisely, the problem consists of two components. The first component is the stochastic differential equation with a Lipschitz continuous drift and an additive noise of the form \(\varepsilon B(t)+Y_{\varepsilon}(t)\), where \(B\) is a fractional Brownian motion of Hurst index \(H \in]1/2, 1[\), \({Y}_{\varepsilon}\) is a sweeping process, namely, \(\dot{Y}_{\varepsilon}\) is the Radon-Nikodym derivative of the differential measure \(DY_{\varepsilon}\) of \({Y}_{\varepsilon}\) with respect to its variation measure \(|D{Y}_{\varepsilon}|\). The second component is the inclusion of \(-\dot{Y}_{\varepsilon}(t)\) to some normal cone. The paper deals with the consistency, a rate of convergence and the asymptotic distribution of the nonparametric estimator of the trend that is defined via the initial non-random reflection problem.