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math.ST updates on arXiv.org

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Malliavin Derivative for the Unknown Parameter in surplus...
Chunhao Cai, Yingzhong Huang · 2018-02-03 · via math.ST updates on arXiv.org

In this paper, we will construct the Malliavin derivative and the stochastic integral with respect to the Mixed fractional Brownian motion (mfbm) for H > 1/2. As an application, we try to estimate the drift parameter via Malliavin derivative for surplus process with mixed fractional Brownian motion

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