Statistical aspects of the fractional stochastic calculus. (English) Zbl 1194.62097

Summary: We apply the techniques of stochastic integration with respect to fractional Brownian motion and the theory of regularity and supremum estimation for stochastic processes to study the maximum likelihood estimator (MLE) for the drift parameter of stochastic processes satisfying stochastic equations driven by a fractional Brownian motion with any level of Hölder-regularity (any Hurst parameter). We prove existence and strong consistency of the MLE for linear and nonlinear equations. We also prove that a version of the MLE using only discrete observations is still a strongly consistent estimator.


62M05 Markov processes: estimation; hidden Markov models
62M09 Non-Markovian processes: estimation
62H05 Characterization and structure theory for multivariate probability distributions; copulas
60H30 Applications of stochastic analysis (to PDEs, etc.)
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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