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

DOI10.1080/00949655.2015.1095301MaRDI QIDQ5222453zbMATH OpenOpenAlexFDO

Authors K. Kubilius, V. Skorniakov, D. Melichov

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.06850

zbMATH Keywords

consistent estimatorfractional Brownian motionvolatilityBlack-Scholes modelVerhulst equationHurst indexLandau-Ginzburg equation

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• 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
• 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
• 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)

• Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
• Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions
• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
• CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• 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
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• Discrete-time inference for slow-fast systems driven by 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
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
• Estimation of the drift of Riemann-Liouville fractional Brownian motion

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