Abstract
We consider the problem of drift parameter estimation in a stochastic differential equation driven by fractional Brownian motion with Hurst parameter H ϵ (1/2, 1) and small diffusion. The technique that we used is the trajectory fitting method. Strong consistency and asymptotic distribution of the estimator are established as a small diffusion coefficient goes to zero.
| Original language | English |
|---|---|
| Pages (from-to) | 339-349 |
| Number of pages | 11 |
| Journal | Random Operators and Stochastic Equations |
| Volume | 31 |
| Issue number | 4 |
| DOIs | |
| State | Published - 1 Dec 2023 |
| Externally published | Yes |
Keywords
- Fractional Brownian motion
- pathwise integral
- stochastic differential equation
- trajectory fitting
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