Nonparametric estimation of trend function for stochastic differential equations driven by a bifractional Brownian motion
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 + }}\var...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2020-07-01
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| Series: | Acta Universitatis Sapientiae: Mathematica |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/ausm-2020-0008 |