























We study the problem of nonparametric estimation of the linear multiplier function $θ(t)$ for processes satisfying stochastic differential equations of the type $$dX_t=θ(t)X_tdt+εdW_t^{H,K}, X_0=x_0,0\leq t \leq T$$ where $\{W_t^{H,K}, t \geq 0\}$ is a bifractional Brownian motion with known parameters $H\in (0,1), K\in (0,1]$ and $HK\in (\frac{1}{2},1).$ We investigate the asymptotic behaviour of the estimator of the unknown function $θ(t)$ as $ε\rightarrow 0.$
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。