Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

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scientific article; zbMATH DE number 6159449 (Why is no real title available?)
A New Limit Theorem for Stochastic Processes with Gaussian Increments
A class of fractional stochastic differential equations
Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
Concrete functional calculus
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Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
Estimation in models driven by fractional Brownian motion
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)

Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
Estimation of the drift of Riemann-Liouville fractional Brownian motion
Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
On local linearization method for stochastic differential equations driven by fractional Brownian motion
Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions
Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
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
Parameter estimation for rough differential equations
Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index
Discrete-time inference for slow-fast systems driven by fractional Brownian motion

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