ASYMPTOTIC PROPERTIES OF THE ESTIMATION OF THE DISPLACEMENT COEFFICIENT OF A STOCHASTIC DIFFERENTIAL EQUATION WITH A FRACTIONAL BROWNIAN MOTION

被引：0
|
作者：
Kasytska, E. I. [1 ]
Knopov, P. S. [1 ]
机构：
[1] Natl Acad Sci Ukraine, Glushkov Inst Cybernet, Academician Glushkov Ave, UA-03187 Kiev, Ukraine
来源：
THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2008年 / 79卷
关键词：
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
引用
收藏
页码：65 / 72
页数：8
相关论文
共 50 条
  • [1] Parameter estimation in stochastic differential equation driven by fractional Brownian motion
    Filatova, Daria
    Grzywaczewski, Marek
    Shybanova, Elizaveta
    Zili, Mounir
    [J]. EUROCON 2007: THE INTERNATIONAL CONFERENCE ON COMPUTER AS A TOOL, VOLS 1-6, 2007, : 2111 - 2117
  • [2] Fractional Brownian Motion for a System of Fuzzy Fractional Stochastic Differential Equation
    Abuasbeh, Kinda
    Shafqat, Ramsha
    [J]. JOURNAL OF MATHEMATICS, 2022, 2022
  • [3] Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
    Bertin, Karine
    Klutchnikoff, Nicolas
    Panloup, Fabien
    Varvenne, Maylis
    [J]. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 2020, 23 (02) : 271 - 300
  • [4] Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
    Karine Bertin
    Nicolas Klutchnikoff
    Fabien Panloup
    Maylis Varvenne
    [J]. Statistical Inference for Stochastic Processes, 2020, 23 : 271 - 300
  • [5] A nonparametric estimation method for stochastic differential equation with sub-fractional Brownian motion
    Bochnacka, Dorota
    Filatova, Darya
    [J]. 2017 22ND INTERNATIONAL CONFERENCE ON METHODS AND MODELS IN AUTOMATION AND ROBOTICS (MMAR), 2017, : 437 - 442
  • [6] BACKWARD STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY FRACTIONAL BROWNIAN MOTION
    Hu, Yaozhong
    Peng, Shige
    [J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2009, 48 (03) : 1675 - 1700
  • [7] A singular stochastic differential equation driven by fractional Brownian motion
    Hu, Yaozhong
    Nualart, David
    Song, Xiaoming
    [J]. STATISTICS & PROBABILITY LETTERS, 2008, 78 (14) : 2075 - 2085
  • [8] A parabolic stochastic differential equation with fractional Brownian motion input
    Grecksch, W
    Anh, VV
    [J]. STATISTICS & PROBABILITY LETTERS, 1999, 41 (04) : 337 - 346
  • [9] Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
    Shohei Nakajima
    Yasutaka Shimizu
    [J]. Japanese Journal of Statistics and Data Science, 2023, 6 : 431 - 455
  • [10] Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
    Nakajima, Shohei
    Shimizu, Yasutaka
    [J]. JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE, 2023, 6 (01) : 431 - 455
12345