CONTROLLED DRIFT ESTIMATION IN FRACTIONAL DIFFUSION LINEAR SYSTEMS - Archive ouverte HAL
Article Dans Une Revue Stochastics and Dynamics Année : 2013

CONTROLLED DRIFT ESTIMATION IN FRACTIONAL DIFFUSION LINEAR SYSTEMS

Chunhao Cai
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Résumé

This paper is devoted to the determination of the asymptotical optimal input for the estimation of the drift parameter in a partially observed but controlled fractional Ornstein–Uhlenbeck process. Large sample asymptotical properties of the Maximum Likelihood Estimator are deduced using Ibragimov–Khasminskii program and Laplace transform computations.
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Dates et versions

hal-01634610 , version 1 (14-11-2017)

Identifiants

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Alexandre Brouste, Chunhao Cai. CONTROLLED DRIFT ESTIMATION IN FRACTIONAL DIFFUSION LINEAR SYSTEMS. Stochastics and Dynamics, 2013, 13 (03), pp.1250025. ⟨10.1142/S0219493712500256⟩. ⟨hal-01634610⟩
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