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Drift Parameter Estimation in the Models Involving Fractional Brownian Motion

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Modern Problems of Stochastic Analysis and Statistics (MPSAS 2016)

Part of the book series: Springer Proceedings in Mathematics & Statistics ((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.

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Authors and Affiliations

  1. Taras Shevchenko National University, 64 Volodymyrska, Kyiv, 01601, Ukraine

    Yuliya Mishura & Kostiantyn Ralchenko

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  1. Yuliya Mishura
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  2. Kostiantyn Ralchenko
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Correspondence to Kostiantyn Ralchenko .

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  1. Department of Statistics and Data Analysis, Higher School of Economics, Moscow, Russia

    Vladimir Panov

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Mishura, Y., Ralchenko, K. (2017). Drift Parameter Estimation in the Models Involving Fractional Brownian Motion. In: Panov, V. (eds) Modern Problems of Stochastic Analysis and Statistics. MPSAS 2016. Springer Proceedings in Mathematics & Statistics, vol 208. Springer, Cham. https://doi.org/10.1007/978-3-319-65313-6_10

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