44 citations · 60 across the 11 of their papers we have counts for
11 papers
A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift
Chunhao Cai, Min Zhang
This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estima…
Maximum likelihood estimation for mixed fractional Vasicek processes
Chunhao Cai, Yinzhong Huang, Weilin Xiao
The mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model, has been widely used in modelling volatility, interest rate and exchange rate. Obvi…
Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process
Chunhao Cai, Qinghua Wang, Weilin Xiao
In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of…
Malliavin Derivative for the Unknown Parameter in surplus process with mixed fractional Brownian motion
Chunhao Cai, Yingzhong Huang
In this paper, we will construct the Malliavin derivative and the stochastic integral with respect to the Mixed fractional Brownian motion (mfbm) for H > 1/2. As an application, we…
Controlled Mean-Reverting Estimation for The AR(1) Model with Stationary Gaussian Noise
Chunhao Cai
This paper deals with the maximum likelihood estimator for the mean-reverting parameter of a first order autoregressive models with exogenous variables, which are stationary Gaussi…
Simulation of Integro-Differential Equation and Application in Estimation of Ruin Probability with Mixed Fractional Brownian Motion
Chunhao Cai, Weilin Xiao
In this paper, we are concerned with the numerical solution of one type integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian…