Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process (Q6168749)

The authors present a method of simulation for the sub-fractional Brownian motion \(S_T^H\) through the relation \(S_t^H=\frac{1}{\sqrt{2}}(B_t^H+B_{-t}^H), H\in (0,1), 0\leq t \leq T\) where \(B^H\) is a fractional Brownian motion with the Hurst index \(H.\) They also study the problem of estimation of the drift parameter for the mixed sub-fractional Ornstein-Uhlenbeck process by the method of least squares and study its asymptotic properties for the case \(H>\frac{1}{2}.\)