A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise |
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| Authors: | Andreas Neuenkirch Samy Tindel |
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| Institution: | 1. Institut für Mathematik, Universit?t Mannheim, A5, 6, 68131?, Mannheim, Germany
2. Institut élie Cartan, Université de Lorraine, B.P. 239, 54506?, Vand?uvre-lès-Nancy Cedex, France
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| Abstract: | We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter $H>1/2$ . The estimator is based on discrete time observations of the stochastic differential equation, and using tools from ergodic theory and stochastic analysis we derive its strong consistency. |
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