An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
Sign Up to like & getrecommendations! Published in 2020 at "Statistical Inference for Stochastic Processes"
DOI: 10.1007/s11203-020-09214-4
Abstract: Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $$1/4< H < 1/2$$ 1 / 4 < H < 1 / 2 . We are interested in estimating… read more here.
Keywords: fractional brownian; stochastic differential; driven fractional; brownian motion ... See more keywords
Controllability of neutral stochastic evolution equations driven by fBm with Hurst parameter less than 1/2
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Systems Science"
DOI: 10.1080/00207721.2019.1645231
Abstract: ABSTRACT In this paper, we investigate the controllability for a class of neutral stochastic evolution equations driven by fractional Brownian motion with Hurst parameter in a Hilbert space. By using the stochastic analysis of fractional… read more here.
Keywords: evolution equations; neutral stochastic; equations driven; stochastic evolution ... See more keywords
Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1678641
Abstract: Abstract For an Ornstein–Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter one shows the Berry–Esséen bound of the least squares estimator of the drift parameter. Thus, a problem left in Chen, Kuang,… read more here.
Keywords: berry ess; ornstein uhlenbeck; parameter; ess bound ... See more keywords