Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion
| Autor: | Keddi Abdelmalik, Madani Fethi, Bouchentouf Amina Angelika |
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| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | Acta Universitatis Sapientiae: Mathematica, Vol 12, Iss 1, Pp 128-145 (2020) |
| Druh dokumentu: | article |
| ISSN: | 2066-7752 |
| DOI: | 10.2478/ausm-2020-0008 |
| Popis: | The main objective of this paper is to investigate the problem of estimating the trend function St = S(xt) for process satisfying stochastic differential equations of the type dXt=S(Xt)dt+εdBtH,K, X0=x0, 0≤t≤T,{\rm{d}}{{\rm{X}}_{\rm{t}}} = {\rm{S}}\left( {{{\rm{X}}_{\rm{t}}}} \right){\rm{dt + }}\varepsilon {\rm{dB}}_{\rm{t}}^{{\rm{H,K}}},\,{{\rm{X}}_{\rm{0}}} = {{\rm{x}}_{\rm{0}}},\,0 \le {\rm{t}} \le {\rm{T,}} |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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