Abstract
We are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.
References
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© 2020 Walter de Gruyter GmbH, Berlin/Boston
Artikel in diesem Heft
- Frontmatter
- Theorem of Furstenberg type for multiplicative stochastic integrals
- A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant
- Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
- Large deviations for stochastic differential equations with general delayed generator
- A stochastic operational matrix method for numerical solutions of multi-dimensional stochastic Itô–Volterra integral equations
- Stochastic PDEs in 𝒮' for SDEs driven by Lévy noise
- Goodness-of-fit test for skew normality based on energy statistics
Artikel in diesem Heft
- Frontmatter
- Theorem of Furstenberg type for multiplicative stochastic integrals
- A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant
- Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
- Large deviations for stochastic differential equations with general delayed generator
- A stochastic operational matrix method for numerical solutions of multi-dimensional stochastic Itô–Volterra integral equations
- Stochastic PDEs in 𝒮' for SDEs driven by Lévy noise
- Goodness-of-fit test for skew normality based on energy statistics