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Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process

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 نشر من قبل Chunhao Cai
 تاريخ النشر 2018
  مجال البحث
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In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk. In order to verify the rationality of this simulation, we propose a practical estimator associated with the LSE of the drift parameter of mixed sub-fractional Ornstein-Uhlenbeck process, and illustrate the asymptotical properties according to our method of simulation when the Hurst parameter $H>1/2$.



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