Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion

DOI10.1080/07362994.2018.1462714MaRDI QIDQ4622807zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao

Publication date 18 February 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2018.1462714

zbMATH Keywords

asymptotic normalityBayes estimationBernstein-von Mises theoremconsistencylinear stochastic differential equationsmaximum likelihood estimationmixed fractional Brownian motionmixed fractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15)

Recommendations

• Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion
• scientific article; zbMATH DE number 2118800
• Maximum-likelihood estimators in the mixed fractional Brownian motion
• Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
• Optimal estimation of a signal perturbed by a mixed fractional Brownian motion

Cites work

• A note on Wick products and the fractional Black-Scholes model
• A strong law of large numbers for local martingales
• Arbitrage in fractional Brownian motion models
• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• scientific article; zbMATH DE number 3976091 (Why is no real title available?)
• scientific article; zbMATH DE number 3770806 (Why is no real title available?)
• scientific article; zbMATH DE number 44889 (Why is no real title available?)
• scientific article; zbMATH DE number 1348627 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 2118800 (Why is no real title available?)
• scientific article; zbMATH DE number 2118867 (Why is no real title available?)
• Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion
• LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS
• Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
• Mixed fractional Brownian motion
• Mixed Gaussian processes: a filtering approach
• Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
• OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• Sharp large deviations for the fractional Ornstein-Uhlenbeck process
• Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
• Statistical inference for fractional diffusion processes
• Stochastic calculus for fractional Brownian motion and related processes.
• The absence of arbitrage in a model with fractal Brownian motion
• The Bernstein-Von Mises Theorem for Markov Processes

Cited in

(23)

• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• 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
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE
• Asymptotic normality of the Bayes estimator in fractional Brownian motion model
• Optimal estimation of a signal perturbed by a mixed fractional Brownian motion
• Some statistical results of the process driven by mixed fractional Brownian motion
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
• Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
• Parameter estimations for linear parabolic fractional SPDEs with jumps
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
• Maximum-likelihood estimators in the mixed fractional Brownian motion
• 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
• Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
• Fractional processes and their statistical inference: an overview
• PARAMETRIC ESTIMATION FOR STOCHASTIC PARABOLIC EQUATIONS DRIVEN BY AN INFINITE DIMENSIONAL MFBM
• The parameter identification of stochastic dynamical system driven by multiplicative mixed fractional Brownian motion
• Least squares estimation for a class of uncertain Vasicek model and its application to interest rates
• Strong convergence of Lévy-driven mixed stochastic integro-differential equations with application to the rough mixed volatility models
• On the parameter estimations for geometric mixed subfractional Brownian motion model

This page was built for publication: Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4622807)