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most citedEstimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

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math.PR2016

On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

Kestutis Kubilius, Dmitrij Melichov

We study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly consistent and most of them…