Maximum likelihood estimation in the non-ergodic fractional Vasicek model (Q2337822)

The authors investigate the fractional Vasicek model described by the stochastic differential equation \[ dX_t = (\alpha-\beta X_t) dt + \gamma dB^H_t , X_0 = x_0, \] driven by the fractional Brownian motion \(B^H\) with the known Hurst parameter \(H\in (1/2, 1)\). They study the maximum likelihood estimators for two unknown drift parameters \(\alpha\) and \(\beta\) in the non-ergodic case for arbitrary initial value. The asymptotic distribution of the maximum likelihood estimator of each parameter is derived and the asymptotic independence of these estimators is established.