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- W2950993037 abstract "We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard estimates and three estimates for the sequential estimation. Model strong consistency and some other properties are proved. The linear model and Ornstein-Uhlenbeck model are studied in detail. As an auxiliary result, an asymptotic behavior of the fractional derivative of the fractional Brownian motion is established." @default.
- W2950993037 created "2019-06-27" @default.
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- W2950993037 date "2011-12-11" @default.
- W2950993037 modified "2023-10-18" @default.
- W2950993037 title "On drift parameter estimation in models with fractional Brownian motion" @default.
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