ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
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Publication:5320884
DOI10.1142/S0219493709002610zbMath1176.62019arXiv0804.0407OpenAlexW2963220242MaRDI QIDQ5320884
Igor Cialenco, Jan Pospíšil, Sergey V. Lototsky
Publication date: 22 July 2009
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0804.0407
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Cites Work
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Stochastic evolution equations with fractional Brownian motion
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
- Statistical aspects of the fractional stochastic calculus
- Parameter estimation and optimal filtering for fractional type stochastic systems
