Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion

DOI10.1515/ROSE-2020-2032MaRDI QIDQ778250zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao

Publication date 2 July 2020

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2020-2032

zbMATH Keywords

nonparametric estimationkernel methodsmall noiselinear stochastic differential equationsub-fractional Brownian motiontrend coefficient

Mathematics Subject Classification ID

Density estimation (62G07) Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) PDEs with randomness, stochastic partial differential equations (35R60)

Cites work

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Cited in

(7)

• Fractional processes and their statistical inference: an overview
• Nonparametric estimation of the trend in reflected fractional SDE
• Nonparametric estimation of trend for stochastic processes driven by \(G\)-Brownian motion with small noise
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
• Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion
• Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
• Maximum likelihood estimation for sub-fractional Vasicek model

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