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

DOI10.1080/03610926.2021.1980048arXiv2104.14888OpenAlexW3203307450MaRDI QIDQ6107553FDOQ6107553

B. L. S. Prakasa Rao

Publication date: 3 July 2023

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

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.

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

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• scientific article; zbMATH DE number 2118867

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)

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Cited In (4)

• Title not available (Why is that?)
• Title not available (Why is that?)
• 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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