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Drift Parameter Estimation in the Models Involving Fractional Brownian Motion

  • Yuliya Mishura
  • Kostiantyn RalchenkoEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 208)

Abstract

This paper is a survey of existing estimation techniques for an unknown drift parameter in stochastic differential equations driven by fractional Brownian motion. We study the cases of continuous and discrete observations of the solution. Special attention is given to the fractional Ornstein–Uhlenbeck model. Mixed models involving both standard and fractional Brownian motion are also considered.

Keywords

Fractional Brownian motion Stochastic differential equation Drift parameter estimation Fractional Ornstein-Uhlenbeck process 

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  1. 1.Taras Shevchenko National UniversityKyivUkraine

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