Least squares estimation for a linear self-repelling diffusion driven by fractional Brownian motion

DOI10.1360/SCM-2017-0387MaRDI QIDQ5063994zbMATH OpenOpenAlexFDO

Authors Yaohong Gan, Litan Yan

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/scm-2017-0387

zbMATH Keywords

asymptotic distributionfractional Brownian motionleast squares estimationMalliavin analysisself-repelling diffusion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

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Cited in

(12)

• Least squares estimation for the linear self-repelling diffusion driven by \(\alpha \)-stable motions
• The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
• Least square estimation for a self-repelling diffusion process driven by bi-fractional Brownian motion
• Deviation properties for linear self-attracting diffusion process and applications
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
• Asymptotic behaviour on the linear self-interacting diffusion driven by α-stable motion
• Convergence of the linear fractional self-repelling diffusion
• The long time behavior of the fractional Ornstein-Uhlenbeck process with linear self-repelling drift
• Convergence and parameter estimation of the linear weighted-fractional self-repelling diffusion
• Asymptotic behavior of a weighted self-repelling diffusion driven by fractional Brownian motion
• The linear self-attracting diffusion driven by the weighted-fractional Brownian motion. II: The parameter estimation
• Deviation inequalities and Cramér-type moderate deviations of self-repelling diffusions

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