Malliavin Derivative for the Unknown Parameter in surplus process with mixed fractional Brownian motion
arXiv:1802.00982
Abstract
In this paper, we will construct the Malliavin derivative and the stochastic integral with respect to the Mixed fractional Brownian motion (mfbm) for H > 1/2. As an application, we try to estimate the drift parameter via Malliavin derivative for surplus process with mixed fractional Brownian motion
In the proof of Theorem 3.1 of the V3 and V4 we do not give the suitable citation and also there exists mistakes in this Theorem