PIMS/AMI Seminar: Professor Yuliya Mishura, Kiev National University
- Date: 07/14/2011
University of Alberta
“On parameter estimation in stochastic differential equations involving fractional Brownian motion”
Abstract We consider maximum likelihood estimate for drift parameter in SDE involving fBm and establish asymptotic properties of this estimate. The generalized fractional Ornstein-Uhlenbeck process is considered as an example.Then we treat the sequential maximum likelihood estimate for drift parameter and discuss it advantages. At last, we consider the problem of sequential parameter estimation in the mixed model involving Wiener process and fractional Brownian motion. in this case it is impossible to construct maximum likelihood estimate, however, we can proceed with quasi-likelihood estimate.
Refreshments will be served in CAB 649 at 3:00 p.m.
Seminar in CAB 273 at 3:30p.m.
For further information, please see the event page at: http://www.math.ualberta.ca/~xinweiyu/AMI_Current.html