A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2018; you can also visit the original URL.
The file type is application/pdf.
Asymptotic properties of an estimator for the drift coefficient of a stochastic differential equation with fractional Brownian motion
2009
Theory of Probability and Mathematical Statistics
Preserved Fulltext
A stochastic differential equation with respect to fractional Brownian motion is considered. We study the maximum likelihood estimator for the drift coefficient. We assume that the coefficient belongs to a given compact set of functions and prove the strong consistency of the estimator and its asymptotic normality.
doi:10.1090/s0094-9000-09-00781-9
fatcat:3cutphjxw5al3nnb3fr4twt3te