PIMS/AMI Seminar: Professor Yuliya Mishura, Kiev National University
Topic
“On parameter estimation in stochastic differential equations involving fractional Brownian motion”
Speakers
Details
Abstract
We consider maximum likelihood estimate for drift parameter in SDE involving fBm and establish asymptotic properties of this estimate. The generalized fractional Ornstein-Uhlenbeck process is considered as an example.
Then we treat the sequential maximum likelihood estimate for drift parameter and discuss it advantages. At last, we consider the problem of sequential parameter estimation in the mixed model involving Wiener process and fractional Brownian motion. in this case it is impossible to construct maximum likelihood estimate, however, we can proceed with quasi-likelihood estimate.
We consider maximum likelihood estimate for drift parameter in SDE involving fBm and establish asymptotic properties of this estimate. The generalized fractional Ornstein-Uhlenbeck process is considered as an example.
Then we treat the sequential maximum likelihood estimate for drift parameter and discuss it advantages. At last, we consider the problem of sequential parameter estimation in the mixed model involving Wiener process and fractional Brownian motion. in this case it is impossible to construct maximum likelihood estimate, however, we can proceed with quasi-likelihood estimate.
Additional Information
For further information, please see the event page at: http://www.math.ualberta.ca/~xinweiyu/AMI_Current.html
Professor Yuliya Mishura, Kiev National University
Professor Yuliya Mishura, Kiev National University