5 papers
Parameter Estimation for Diffusive Stochastic Master Equations in Continuously Observed Quantum Systems
Mitsuki Kobayashi, Shohei Nakajima
Continuous measurement of quantum systems gives rise to stochastic dynamics of the conditional quantum state, described by diffusive stochastic master equations. In this paper, we…
The maximum likelihood type estimator of SDEs with fractional Brownian motion under small noise asymptotics in the rough case
Shohei Nakajima
We study the problem of parametric estimation for continuously observed stochastic differential equation driven by fractional Brownian motion. Under some assumptions on drift and d…
Least squares estimators for discretely observed stochastic processes driven by small fractional noise
S. Nakajima, S. Nakamura, Y. Shimizu
We study the problem of parameter estimation for discretely observed stochastic differential equations driven by small fractional noise. Under some conditions, we obtain strong con…
Parameter estimation of stochastic differential equation driven by small fractional noise
Shohei Nakajima, Yasutaka Shimizu
We study the problem of parametric estimation for continuously observed stochastic processes driven by additive small fractional Brownian motion with Hurst index 0<H<1/2 and 1/2<H<…
Asymptotic normality of least squares estimators to stochastic differential equations driven by fractional Brownian motions
Yasutaka Shimizu, Shohei Nakajima
We will consider the following stochastic differential equation (SDE): \begin{equation} X_t=X_0+\int_0^tb(X_s,θ_0)ds+σB_t,~~~t\in(0,T], \end{equation} where is a…