Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion

Abstract

We discuss nonparametric estimation of trend coefficient in models governed by a stochastic differential equation driven by a mixed fractional Brownian motion with small noise.

Keywords:

• Linear stochastic differential equation
• trend coefficient
• nonparametric estimation
• Kernel method
• small noise
• mixed fractional Brownian motion

AMS SUBJECT CLASSIFICATION (2000):

• Primary 62M09
• Secondary 60G15

Additional information

Funding

This work was supported under the scheme “INSA Senior Scientist” by the Indian National Science Academy while the author was at the CR Rao Advanced Institute for Mathematics, Statistics and Computer Science, Hyderabad 500046, India.