An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter-Reference-Cited by-同舟云学术

An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter

Published:2020-05-09 Issue:2 Volume:23 Page:319-353
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Chiba Kohei^ORCID

Funder

KAKENHI

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11203-020-09214-4.pdf

Reference29 articles.

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4. Cheridito P, Nualart D (2005) Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter $${H}\in (0,\frac{1}{2})$$. Ann l’IHP Probab Stat 41(6):1049–1081

5. Cheridito P, Kawaguchi H, Maejima M (2003) Fractional Ornstein–Uhlenbeck processes. Electron J Probab 8:14

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