Abstract
We study the problem of parametric estimation for continuously observed stochastic processes driven by additive small fractional Brownian motion with Hurst index 0<H<1/2 and 1/2<H<1. Under some assumptions on the drift coefficient, we obtain the asymptotic normality and moment convergence of maximum likelihood estimator of the drift parameter .
Connections
Explore this paper’s authors, topics and related work.
Building this map preview
BZPEER is loading the nearby papers, people, topics and institutions for this page.
Reviews 0
Write a review
No reviews yet.
Discussion 0
Add a comment
No comments yet.