An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
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DOI：
10.1007/s11203-020-09214-4
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发表时间：
2020-05
影响因子：
0.8
通讯作者：
Kohei Chiba
中科院分区：
文献类型：
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作者：
Kohei Chiba
让我们考虑由具有赫斯特参数的分数布朗运动驱动的随机微分方程。我们有兴趣根据完整观测的数据估计漂移参数。我们提出了漂移参数的 M 估计器。在漂移系数的一些假设下，我们的估计量具有一致性、渐近正态性和矩收敛性。
Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter. We are interested in estimating the drift parameter from the completely observed data. We propose an M-estimator for the drift parameter. Under some assumptions on the drift coefficient, our estimator has consistency, asymptotic normality and moment convergence property.