Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
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Cites work
- A class of fractional stochastic differential equations
- A New Limit Theorem for Stochastic Processes with Gaussian Increments
- Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
- Concrete functional calculus
- Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Estimation in models driven by fractional Brownian motion
- scientific article; zbMATH DE number 6159449 (Why is no real title available?)
- Identification of filtered white noises
- On estimation of the extended Orey index for Gaussian processes
- Quadratic variations along irregular subdivisions for Gaussian processes
- Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- The rate of convergence of Hurst index estimate for the stochastic differential equation
Cited in
(16)- Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
- CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index
- Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions
- Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
- On local linearization method for stochastic differential equations driven by fractional Brownian motion
- On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
- Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
- Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
- Estimation of the drift of Riemann-Liouville fractional Brownian motion
- Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
- Parameter estimation for rough differential equations
- Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
- Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
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