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Register a new userMalliavin Derivative for the Unknown Parameter in surplus process with mixed fractional Brownian motion
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Added by
Chunhao Cai
Publication date
2018
fields
Mathematical Statistics
and research's language is
English
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In this paper, we will construct the Malliavin derivative and the stochastic integral with respect to the Mixed fractional Brownian motion (mfbm) for H > 1/2. As an application, we try to estimate the drift parameter via Malliavin derivative for surplus process with mixed fractional Brownian motion
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