most citedMaximum likelihood estimation in the non-ergodic fractional Vasicek model

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math.PR2020★ 6 cited

Maximum likelihood estimation in the non-ergodic fractional Vasicek model

Stanislav Lohvinenko, Kostiantyn Ralchenko

We investigate the fractional Vasicek model described by the stochastic differential equation , , driven by the fractional Brownian motion $B^…