Statistical aspects of the fractional stochastic calculus
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Publication:2642746
fractional Brownian motionHurst parameterMalliavin calculusmaximum likelihood estimatorstochastic differential equationstrong consistency
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)
Abstract: We apply the techniques of stochastic integration with respect to fractional Brownian motion and the theory of regularity and supremum estimation for stochastic processes to study the maximum likelihood estimator (MLE) for the drift parameter of stochastic processes satisfying stochastic equations driven by a fractional Brownian motion with any level of H"{o}lder-regularity (any Hurst parameter). We prove existence and strong consistency of the MLE for linear and nonlinear equations. We also prove that a version of the MLE using only discrete observations is still a strongly consistent estimator.
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