Parameter Estimation for Fractional Ornstein-Uhlenbeck Processes: Non-ergodic Case

Rachid Belfadli, Khalifa Es-Sebaiy, Youssef Ouknine

We consider the parameter estimation problem for the non-ergodic fractional Ornstein-Uhlenbeck process defined as $d{X}_t=\theta X_{t}dt+d{B}_t,t\ge 0$, with a parameter $\theta >0$, where $B$ is…