Parameter estimation of stochastic differential equation driven by small fractional noise

01/02/2022

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by   Shohei Nakajima, et al.

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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 .