Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
classification
🧮 math.PR
keywords
driftestimatorsparameterspolynomialasymptoticallybrownianconsistentdifferential
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Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of the underlying processes.
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