Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
Abstract In this paper, we consider the nonergodic Ornstein-Uhlenbeck process X 0 = 0 , d X t = θ X t d t + d B t a , b , t ≥ 0 , $$ X_{0}=0, \quad\quad dX_{t}=\theta X_{t} \,dt+dB_{t}^{a,b},\quad t\geq0, $$ driven by the weighted fractional Brownian motion B t a , b $B_{t}^{a,b}$ with parameter a a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2017-11-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-017-1420-y |