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
[41]   Uniqueness and Explosion Time of Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motion [J].
Jie XU ;
Yun Min ZHU ;
Ji Cheng LIU .
Acta Mathematica Sinica,English Series, 2012, (12) :2407-2416
[42]   Uniqueness and Explosion Time of Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motion [J].
Xu, Jie ;
Zhu, Yun Min ;
Liu, Ji Cheng .
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2012, 28 (12) :2407-2416
[43]   Stability Analysis of Neutral Fractional Stochastic Differential Equations Driven by Mixed Brownian Motion and Subfractional Brownian Motion With Applications in the I-Cub Robot [J].
Mattuvarkuzhali, C. ;
Balasubramaniam, P. ;
Er, M. J. .
IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS, 2023, 53 (06) :3377-3388
[44]   On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion [J].
Pei, Bin ;
Xu, Yong .
ADVANCES IN DIFFERENCE EQUATIONS, 2016,
[45]   FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY G-BROWNIAN MOTION WITH DELAYS [J].
Saci, Akram ;
Redjil, Amel ;
Boutabia, Hacene ;
Kebiri, Omar .
PROBABILITY AND MATHEMATICAL STATISTICS-POLAND, 2023, 43 (01) :1-21
[46]   Spectral Collocation Method for Stochastic Differential Equations Driven by Fractional Brownian Motion [J].
He, Jie ;
Xing, Zhuo ;
Guo, Qian .
FLUCTUATION AND NOISE LETTERS, 2023, 22 (03)
[47]   Nonlocal stochastic integro-differential equations driven by fractional Brownian motion [J].
Cui, Jing ;
Wang, Zhi .
ADVANCES IN DIFFERENCE EQUATIONS, 2016,
[48]   Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion [J].
Neuenkirch, Andreas .
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2008, 118 (12) :2294-2333
[49]   Almost automorphic solutions for stochastic differential equations driven by fractional Brownian motion [J].
Chen, Feng ;
Yang, Xue .
MATHEMATISCHE NACHRICHTEN, 2019, 292 (05) :983-995
[50]   Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations [J].
Ral'chenko K.V. ;
Shevchenko H.M. .
Ukrainian Mathematical Journal, 2011, 62 (9) :1460-1475
12345