Nonparametric Estimation of Linear Multiplier for Processes Driven by Mixed fractional Brownian Motion

2019/02/22 by Б. Л. С. Пракаса Рао, Rao, B. L. S. Prakasa
Engineering · #62M09 #Advanced Control Systems Optimization #Control Systems and Identification #FOS: Mathematics #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.1902.08375

openalex publication_date 2019/02/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study the problem of nonparametric estimation of linear multiplier function θt) for processes satisfying stochastic differential equations of the type dX_t=θ(t)X_tdt+\epsilond W_t^H, X₀=x₀, 0≤ t ≤ T where \ W_T^H, t ≥ 0\ is a mixed fractional Brownian motion with known Hurst index H and study the asymptotic behaviour of the estimator as ε→ 0.

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