LAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter H\in(1/4,1/2)

arXiv1804.04108MaRDI QIDQ6300231FDOQ6300231

Publication date: 11 April 2018

Abstract: In this paper, we consider the problem of estimating the drift parameter of solution to the stochastic differential equation driven by a fractional Brownian motion with Hurst parameter less than

1 / 2

under complete observation. We derive a formula for the likelihood ratio and prove local asymptotic normality when

H i n (1 / 4, 1 / 2)

. Our result shows that the convergence rate is

T^{- 1 / 2}

for the parameters satisfying a certain equation and

T^{- (1 - H)}

for the others.

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

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