Nonparametric Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion with Random Effects

被引：4
作者：
Rao, B. L. S. Prakasa [1 ]
机构：
[1] CR RAO Adv Inst Math Stat & Comp Sci, Hyderabad, India
来源：
SANKHYA-SERIES A-MATHEMATICAL STATISTICS AND PROBABILITY | 2021年 / 83卷 / 02期
关键词：
Stochastic differential equation; random effects; nonparametric estimation; Kernel method; mixed fractional Brownian motion; PARAMETRIC-ESTIMATION; CONVERGENCE; UNIQUENESS; EXISTENCE;
D O I：
10.1007/s13171-020-00230-3
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We discuss nonparametric estimation of the density of random effects in models governed by a stochastic differential equation driven by a mixed fractional Brownian motion.
引用
收藏
页码：554 / 568
页数：15
相关论文
共 50 条
[21]   Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion [J].
Liu, Weiguo ;
Luo, Jiaowan .
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (15) :7427-7443
[22]   Nonparametric Estimation of Linear Multiplier for Processes Driven by Mixed Fractional Brownian Motion [J].
Rao, B. L. S. Prakasa .
STATISTICS AND APPLICATIONS, 2021, 19 (01) :67-76
[23]   Impulsive stochastic fractional differential equations driven by fractional Brownian motion [J].
Abouagwa, Mahmoud ;
Cheng, Feifei ;
Li, Ji .
ADVANCES IN DIFFERENCE EQUATIONS, 2020, 2020 (01)
[24]   Nonlocal fractional stochastic differential equations driven by fractional Brownian motion [J].
Lv, Jingyun ;
Yang, Xiaoyuan .
ADVANCES IN DIFFERENCE EQUATIONS, 2017,
[25]   On local linearization method for stochastic differential equations driven by fractional Brownian motion [J].
Araya, Hector ;
Leon, Jorge A. ;
Torres, Soledad .
STOCHASTIC ANALYSIS AND APPLICATIONS, 2021, 39 (01) :55-90
[26]   EXISTENCE AND MEASUREABILITY OF THE SOLUTION OF THE STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION [J].
Naghshineh, O. ;
Zangeneh, B. Z. .
BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY, 2009, 35 (02) :47-68
[27]   Approximate Controllability of Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion [J].
Lv, Jingyun ;
Yang, Xiaoyuan .
BULLETIN OF THE MALAYSIAN MATHEMATICAL SCIENCES SOCIETY, 2020, 43 (03) :2605-2626
[28]   Nonparametric estimation for random effects models driven by fractional Brownian motion using Hermite polynomials [J].
El Maroufy, Hamid ;
Ichi, Souad ;
El Omari, Mohamed ;
Slaoui, Yousri .
STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES, 2024, 27 (02) :305-333
[29]   Nonparametric estimation for random effects models driven by fractional Brownian motion using Hermite polynomials [J].
Hamid El Maroufy ;
Souad Ichi ;
Mohamed El Omari ;
Yousri Slaoui .
Statistical Inference for Stochastic Processes, 2024, 27 :305-333
[30]   Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion [J].
Zhang, Xinwen ;
Ruan, Dehao .
JOURNAL OF INEQUALITIES AND APPLICATIONS, 2018,
12345