论文标题
由小分数噪声驱动的随机微分方程的参数估计
Parameter estimation of stochastic differential equation driven by small fractional noise
论文作者
论文摘要
我们研究了由添加性小的布朗运动驱动的连续观察到的随机过程的参数估计问题，其赫斯特指数为0 <h <1/2和1/2 <h <1。在一些关于漂移系数的假设下，我们获得了漂移参数的最大似然估计量的渐近正态性和矩收敛。
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 .
