Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion |
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| Authors: | M N Mishra B L S Prakasa Rao |
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| Institution: | 1.Institute of Mathematics and Applications,Bhubaneswar,India;2.University of Hyderabad,Hyderabad,India |
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| Abstract: | Consider a stochastic process {X
t
, 0 ≤ t ≤ T} governed by a stochastic differential equation given by
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dXt = S(Xt) dt + e dWtH, X0=x0, 0 ￡ t ￡ T dX_t= S(X_t) dt + \epsilon dW_t^H,\quad X_0=x_0,\quad 0 \leq t \leq T |
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| Keywords: | |
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