Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion

DOI10.1007/S11203-010-9051-XMaRDI QIDQ453783zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

trendnonparametric estimationstochastic differential equationfractional Brownian motionkernel methodsmall noise

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Stochastic integral equations (60H20) Foundations of stochastic processes (60G05)

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• Differential equations driven by fractional Brownian motion
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical inference for ergodic diffusion processes.
• Statistical inference for fractional diffusion processes

Cited in

(24)

• 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 the trend in reflected fractional SDE
• Nonparametric estimation of the trend for stochastic differential equations driven by small -stable noises
• Nonparametric estimation for i.i.d. paths of fractional SDE
• Fractional processes and their statistical inference: an overview
• Nonparametric estimation of trend function for stochastic differential equations driven by a weighted fractional Brownian motion
• \(H_\infty\) sampled-data control for uncertain fuzzy systems under Markovian jump and fBm
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
• Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Local linear estimator for fractional diffusions
• On a computable Skorokhod's integral-based estimator of the drift parameter in fractional SDE
• Nadaraya-Watson estimators for reflected stochastic processes
• Nonparametric estimation of linear multiplier for fractional diffusion processes
• Nonparametric inference for fractional diffusion
• Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise
• Random effects estimation in a fractional diffusion model based on continuous observations
• 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
• Drawdown and drawup for fractional Brownian motion with trend

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