Asymptotic properties of an estimator for the drift coefficient of a stochastic differential equation with fractional Brownian motion

DOI10.1090/S0094-9000-09-00781-9zbMath1224.60139OpenAlexW2042615283WikidataQ115283100 ScholiaQ115283100MaRDI QIDQ5391394

E. I. Kasyts'Ka, Pavel S. Knopov

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-09-00781-9

zbMATH Keywords

stochastic differential equationasymptotic normalityestimatestrong consistencystochastic integraldrift coefficientfractional Wiener process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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