2 papers
math.PR2024
Lévy Area Analysis and Parameter Estimation for fOU Processes via Non-Geometric Rough Path Theory
Zhongmin Qian, Xingcheng Xu
This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem,…
math.PR2024
Rough Path Renormalization from Stratonovich to Itô for Fractional Brownian Motion
Zhongmin Qian, Xingcheng Xu
This paper develops an Itô-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons…