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Parameter estimation of stochastic differential equation driven by small fractional noise (2201.00372v1)
Published 2 Jan 2022 in math.ST and stat.TH
Abstract: We study the problem of parametric estimation for continuously observed stochastic processes driven by additive small fractional Brownian motion with Hurst index 0<H<1/2 and 1/2<H<1. Under some assumptions on the drift coefficient, we obtain the asymptotic normality and moment convergence of maximum likelihood estimator of the drift parameter .