Abstract We discuss nonparametric estimation of a trend coefficient in models governed by a stochastic differential equation driven by a sub-fractional Brownian motion with small noise.

Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion

Fractional Processes and Their Statistical Inference: An Overview

: We investigate the asymptotic properties of the minimum L 1 -norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gausssian process. 62 M 09.

Minimum $L_1$-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process

We investigate the asymptotic properties of maximum likelihood estimators of the drift parameter for fractional vasicek model driven by a sub-fractional Brownian motion.

Maximum likelihood estimation for sub-fractional Vasicek model

We derive some maximal inequalities for the sub-fractional Brownian motion using comparison theorems for Gaussian processes.

B. L. S. Prakasa Rao

Papers

More on maximal inequalities for sub-fractional Brownian motion