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Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion

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  • Na Song
  • Zaiming Liu

Abstract

We study the asymptotic properties of minimum distance estimator of drift parameter for a class of nonlinear scalar stochastic differential equations driven by mixed fractional Brownian motion. The consistency and limit distribution of this estimator are established as the diffusion coefficient tends to zero under some regularity conditions.

Suggested Citation

  • Na Song & Zaiming Liu, 2014. "Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion," Abstract and Applied Analysis, John Wiley & Sons, vol. 2014(1).
    • Handle: RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:942307
    DOI: 10.1155/2014/942307
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    References listed on IDEAS

    as
    1. Bertin, Karine & Torres, Soledad & Tudor, Ciprian A., 2011. "Drift parameter estimation in fractional diffusions driven by perturbed random walks," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 243-249, February.
    2. Mounir Zili, 2006. "On the mixed fractional Brownian motion," International Journal of Stochastic Analysis, Hindawi, vol. 2006, pages 1-9, August.
    3. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(2), pages 231-247, August.
    4. Hu, Yaozhong & Nualart, David, 2010. "Parameter estimation for fractional Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1030-1038, June.
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