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Full-Text Articles in Physical Sciences and Mathematics
Nonparametric Estimation Of Trend Function For Stochastic Differential Equations Driven By A Weighted Fractional Brownian Motion, Abdelmalik Keddi, Fethi Madani, Amina A. Bouchentouf
Nonparametric Estimation Of Trend Function For Stochastic Differential Equations Driven By A Weighted Fractional Brownian Motion, Abdelmalik Keddi, Fethi Madani, Amina A. Bouchentouf
Applications and Applied Mathematics: An International Journal (AAM)
In this paper, we consider the problem of nonparametric estimation of trend function for stochastic differential equations driven by a weighted fractional Brownian motion (weighted-fBm). Under some general conditions, the consistent uniform, the rate of convergence as well as the asymptotic normality of our estimator are established. In addition, a numerical example is provided to illustrate the validity of the considered estimator.