Kostiantyn Ralchenko - Taras Shevchenko National University of Kyiv

Abstract

We investigate the fractional Vasicek model described by the stochastic Langevin equation driven by fractional Brownian motion with known Hurst parameter. We study the maximum likelihood estimators for unknown drift parameters. We derive their asymptotic distributions and prove their asymptotic independence.

 

Published Jan. 7, 2020 9:20 AM - Last modified Jan. 7, 2020 9:20 AM