arXiv:1501.06850 Abstract | arXiv Analytics

arXiv:1501.06850 [math.PR]Abstract References Reviews Resources

Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

Published 2015-01-27Version 1

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.

Comments: 11 pages

Categories: math.PR

Subjects: 60G22, 62M09, 62F12

Keywords: fractional brownian motion, polynomial drift, sde driven, estimation, stochastic differential equations

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