Nonparametric estimation of trend for stochastic processes driven by G-Brownian motion with small noise

DOI10.1007/S11009-023-10045-YzbMATH Open1524.62158OpenAlexW4380083010MaRDI QIDQ6176166FDOQ6176166

Authors Xuekang Zhang, Shounian Deng, Weiyin Fei 

Publication date 25 July 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-023-10045-y

zbMATH Keywords

consistencynonparametric estimationasymptotic distribution\(G\)-Brownian motionsmall noise

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cited in

(3)

• Stochastic differential equations driven by small general Gaussian noise: non parametric estimation
• Nonparametric estimation for periodic stochastic differential equations driven by \(G\)-Brownian motion
• Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion

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