Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects

DOI10.1080/03610926.2021.1980048MaRDI QIDQ6107553OpenAlexFDO

Authors B. L. S. Prakasa Rao

Publication date 3 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.14888

zbMATH Keywords

maximum likelihood estimationrandom effectsstochastic differential equationmixed fractional Brownian motion

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)

Abstract: We discuss maximum likelihood estimation of parameters for models governed by a stochastic differential equation driven by a mixed fractional Brownian motion with random effects.

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• scientific article; zbMATH DE number 2118867

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Cited in

(4)

• scientific article; zbMATH DE number 6671342 (Why is no real title available?)
• scientific article; zbMATH DE number 2118867 (Why is no real title available?)
• AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION
• Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

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