Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects

2021/04/30 by Rao, B. L. S. Prakasa · 1 citation
#60G22 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2104.14888

Abstract

We discuss maximum likelihood estimation of parameters for models governed by a stochastic differential equation driven by a mixed fractional Brownian motion with random effects.

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• Hybrid estimation for a mixed fractional Black-Scholes model with random effects from discrete time observations

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