LAN property for stochastic differential equations with additive fractional noise and continuous time observation
Résumé
We consider a stochastic differential equation with additive fractional noise of Hurst parameter H > 1/2, and a non-linear drift depending on an unknown parameter. We show the Local Asymptotic Normality property (LAN) of this parametric model with rate √ τ as τ → ∞, when the solution is observed continuously on the time interval [0, τ ]. The proof uses ergodic properties of the equation and a Poincaré type inequality.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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