B1109
Title: An M-estimatior for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
Authors: Kohei Chiba - Osaka University (Japan) [presenting]
Abstract: A stochastic differential equation driven by a fractional Brownian motion with small Hurst parameter is considered. We are interested in estimating the drift parameter from the completely observed data. We propose an M-estimator for the drift parameter. Under some assumptions on the drift coefficient, our estimator has consistency, asymptotic normality and moment convergence property.
