Statistical Inference for Stochastic Processes

, Volume 11, Issue 3, pp 221–236 | Cite as

Parameter estimation for stochastic equations with additive fractional Brownian sheet

  • Tommi SottinenEmail author
  • Ciprian A. Tudor


We study the maximum likelihood estimator for stochastic equations with additive fractional Brownian sheet. We use the Girsanov transform for the the two-parameter fractional Brownian motion, as well as the Malliavin calculus and Gaussian regularity theory.


Maximum likelihood estimator Fractional Brownian sheet Malliavin calculus Girsanov transform 

Mathematics Subject Classification (2000)

60G15 G0H07 60G35 62M40 


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Copyright information

© Springer Science+Business Media B.V. 2007

Authors and Affiliations

  1. 1.Reykjavik UniversityReykjavikIceland
  2. 2.Department of Mathematics and StatisticsUniversity of HelsinkiHelsinkiFinland
  3. 3.SAMOS-MATISSE, Université de Panthéon-Sorbonne Paris 1Paris Cedex 13France

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