Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion
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 tend...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/942307 |
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| _version_ | 1832551356460695552 |
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| author | Na Song Zaiming Liu |
| author_facet | Na Song Zaiming Liu |
| author_sort | Na Song |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-885e2a3c53cd401f82be6a720352e3d2 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-885e2a3c53cd401f82be6a720352e3d22025-02-03T06:01:39ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/942307942307Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian MotionNa Song0Zaiming Liu1School of Mathematics and Statistics, Central South University, Changsha, Hunan 410075, ChinaSchool of Mathematics and Statistics, Central South University, Changsha, Hunan 410075, ChinaWe 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.http://dx.doi.org/10.1155/2014/942307 |
| spellingShingle | Na Song Zaiming Liu Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion Abstract and Applied Analysis |
| title | Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion |
| title_full | Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion |
| title_fullStr | Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion |
| title_full_unstemmed | Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion |
| title_short | Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion |
| title_sort | parameter estimation for stochastic differential equations driven by mixed fractional brownian motion |
| url | http://dx.doi.org/10.1155/2014/942307 |
| work_keys_str_mv | AT nasong parameterestimationforstochasticdifferentialequationsdrivenbymixedfractionalbrownianmotion AT zaimingliu parameterestimationforstochasticdifferentialequationsdrivenbymixedfractionalbrownianmotion |