Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
From MaRDI portal
Publication:5742554
DOI10.1080/07362994.2018.1555045zbMath1460.62140OpenAlexW2907010156WikidataQ128686826 ScholiaQ128686826MaRDI QIDQ5742554
Publication date: 15 May 2019
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2018.1555045
kernel methodnonparametric estimationsmall noiselinear stochastic differential equationmixed fractional Brownian motiontrend coefficient
Density estimation (62G07) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items
Fractional processes and their statistical inference: an overview ⋮ Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion ⋮ Nonparametric estimation for small fractional diffusion processes with random effects ⋮ Unnamed Item
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mixed Gaussian processes: a filtering approach
- Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
- Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
- Mixed fractional Brownian motion
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion
- Minimum \(L_1\)-norm estimation for mixed fractional Ornstein-Uhlenbeck type process
- Stochastic calculus for fractional Brownian motion and related processes.
- Mixed stochastic delay differential equations
- Statistical Inference for Fractional Diffusion Processes
- Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion
- Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process
- Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
- LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS
- OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
- Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion