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

DOI10.1007/s40304-021-00245-8zbMath1527.60030arXiv1809.02038OpenAlexW4220773456MaRDI QIDQ6168749

Weilin Xiao, Qinghua Wang, Chunhao Cai

Publication date: 11 July 2023

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

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

zbMATH Keywords

Ornstein-Uhlenbeck processleast square estimatormixed sub-fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
• Stochastic Calculus for Fractional Brownian Motion and Applications
• The characteristic function of rough Heston models

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