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most citedLAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter

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math.ST2018★ 1 cited

LAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter

Kohei Chiba

In this paper, we consider the problem of estimating the drift parameter of solution to the stochastic differential equation driven by a fractional Brownian motion with Hurst param…