Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind

DOI10.1007/S00245-018-9519-4MaRDI QIDQ2187330zbMATH OpenOpenAlexWikidataFDO

Authors Maoudo Faramba Baldé, K. Es-Sebaiy, Ciprian A. Tudor

Publication date 2 June 2020

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-018-9519-4

zbMATH Keywords

asymptotic normalityergodicityfractional Brownian motionfractional Ornstein-Uhlenbeck processMalliavin calculusmultiple Wiener-Itô integralsparameter estimationstochastic evolution equationsstrong consistency

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited in

(5)

• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
• Gaussian and hermite Ornstein–Uhlenbeck processes
• Cramér-type moderate deviations of drift estimation in the stochastic heat equation

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