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math.ST2022
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…
math.ST2022
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<…