On a Calculable Skorokhod's Integral Based Projection Estimator of the Drift Function in Fractional SDE

07/11/2023

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by   Nicolas Marie, et al.

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This paper deals with a Skorokhod's integral based projection type estimator b_m of the drift function b_0 computed from N∈ℕ^* independent copies X^1,…,X^N of the solution X of dX_t = b_0(X_t)dt +σ dB_t, where B is a fractional Brownian motion of Hurst index H∈ (1/2,1). Skorokhod's integral based estimators cannot be calculated directly from X^1,…,X^N, but in this paper a risk bound is established on a calculable approximation of b_m.