Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
DOI10.1007/S11203-010-9051-XzbMATH Open1274.62563OpenAlexW2081784806MaRDI QIDQ453783FDOQ453783
Authors: B. L. S. Prakasa Rao, Mahendra Nath Mishra 
Publication date: 28 September 2012
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-010-9051-x
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trendnonparametric estimationstochastic differential equationfractional Brownian motionkernel methodsmall noise
Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Stochastic integral equations (60H20) Foundations of stochastic processes (60G05)
Cites Work
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Cited In (22)
- Stabilization of delayed neutral semi-Markovian jumping stochastic systems driven by fractional Brownian motions: \(H_\infty\) control approach
- Nonparametric estimation in fractional SDE
- Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process
- Nonparametric Estimation of Linear Multiplier for Fractional Diffusion Processes
- Nonparametric estimation of the trend in reflected fractional SDE
- Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Fractional processes and their statistical inference: an overview
- \(H_\infty\) sampled-data control for uncertain fuzzy systems under Markovian jump and fBm
- Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
- Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
- Local linear estimator for fractional diffusions
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Nadaraya-Watson estimators for reflected stochastic processes
- Nonparametric inference for fractional diffusion
- Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise
- NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE
- Nonparametric estimation of trend for stochastic processes driven by \(G\)-Brownian motion with small noise
- Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
- Title not available (Why is that?)
- Drawdown and drawup for fractional Brownian motion with trend
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