Mixed Sub-fractional Brownian Motion and Drift Estimation of Related Ornstein-Uhlenbeck Process

被引：3
|
作者：
Cai, Chunhao [1 ]
Wang, Qinghua [2 ]
Xiao, Weilin [3 ]
机构：
[1] Sun Yat Sen Univ, Sch Math Zhuhai, Zhuhai Campus, Zhuhai, Peoples R China
[2] Shanghai Univ Finance & Econ, Sch Math, Shanghai, Peoples R China
[3] Zhejiang Univ, Sch Management, Hangzhou, Peoples R China
来源：
COMMUNICATIONS IN MATHEMATICS AND STATISTICS | 2023年 / 11卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Sub-fractional Brownian motion; Ornstein-Uhlenbeck process; Least square estimator; Malliavin calculus; PARAMETER-ESTIMATION;
D O I：
10.1007/s40304-021-00245-8
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk. In order to verify the rationality of this simulation, we propose a practical estimator associated with the LSE of the drift parameter of mixed sub-fractional Ornstein-Uhlenbeck process, and illustrate the asymptotical properties according to our method of simulation when the Hurst parameter H > 1/2.
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页码：229 / 255
页数：27
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