Minimum L₁-norm estimation for mixed fractional Ornstein-Uhlenbeck type process

MaRDI QIDQ2431300zbMATH OpenFDO

Authors Yu Miao

Publication date 12 April 2011

Published in Acta Mathematica Vietnamica (Search for Journal in Brave)

Full work available at URL http://www.math.ac.vn/publications/acta/35/Toc_ACTA_3_35.htm

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Cited in

(5)

• Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion
• Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
• Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects

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