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Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion

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References

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Cited by

2000Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems69 cited
2000Stieltjes Integrals of Hölder Continuous Functions with Applications to Fractional Brownian Motion59 cited
2003OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION56 cited
2009Asymptotic properties of MLE for partially observed fractional diffusion system55 cited
2003Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion54 cited

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2013

A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

52 cited

2014On drift parameter estimation in models with fractional Brownian motion51 cited

2012Parametric estimation for sub-fractional Ornstein–Uhlenbeck process47 cited

2010Drift parameter estimation in fractional diffusions driven by perturbed random walks35 cited

2011Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion27 cited

2013Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk24 cited

2013Solutions to BSDEs driven by both standard and fractional Brownian motions22 cited

2005BERRY-ESSEEN BOUND FOR MLE FOR LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION21 cited