Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process

DOI10.1007/S40304-021-00245-8zbMATH Open1527.60030arXiv1809.02038OpenAlexW4220773456MaRDI QIDQ6168749FDOQ6168749

Authors: Chunhao Cai, Qinghua Wang, Weilin Xiao 

Publication date: 11 July 2023

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

Abstract: In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk. In order to verify the rationality of this simulation, we propose a practical estimator associated with the LSE of the drift parameter of mixed sub-fractional Ornstein-Uhlenbeck process, and illustrate the asymptotical properties according to our method of simulation when the Hurst parameter $H>1/2$.

Full work available at URL: https://arxiv.org/abs/1809.02038

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zbMATH Keywords

Ornstein-Uhlenbeck processleast square estimatormixed sub-fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

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Cited In (4)

• Drift perturbation of subordinate Brownian motions with Gaussian component
• Estimators for the Drift of Subfractional Brownian Motion
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises

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