Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motions

Abstract

A linear stochastic differential equation driven by a mixture of two independent fractional Brownian motions possibly with different Hurst indices is considered and an estimator for the trend parameter is obtained based on the observation of the process up to time T. Distributional properties of this estimator are investigated.

AMS (2000) Subject Classification : 62M09.

Keywords

Estimation Stochastic differential equation,Mixed fractional Brownian motion

Get full access to this article

View all access options for this article.