Nonparametric Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion with Random Effects

Sankhya A ◽  
2020 ◽  
Author(s):  
B. L. S. Prakasa Rao
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Fractional Brownian Motion ◽  
Random Effects ◽  
Nonparametric Estimation ◽  
Mixed Fractional Brownian Motion

scholarly journals Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Na Song ◽  
Zaiming Liu
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Fractional Brownian Motion ◽  
Asymptotic Properties ◽  
Regularity Conditions ◽  
Minimum Distance Estimator ◽  
Mixed Fractional Brownian Motion ◽  
Distance Estimator ◽  
Drift Parameter

We study the asymptotic properties of minimum distance estimator of drift parameter for a class of nonlinear scalar stochastic differential equations driven by mixed fractional Brownian motion. The consistency and limit distribution of this estimator are established as the diffusion coefficient tends to zero under some regularity conditions.

Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion

2020 ◽  
Vol 28 (2) ◽  
pp. 113-122
Author(s):  
B. L. S. Prakasa Rao
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Stochastic Differential Equations ◽  
Fractional Brownian Motion ◽  
Nonparametric Estimation ◽  
Small Noise ◽  
Trend Coefficient

AbstractWe discuss nonparametric estimation of a trend coefficient in models governed by a stochastic differential equation driven by a sub-fractional Brownian motion with small noise.

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