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Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application
- Source :
- Stochastics: An International Journal of Probability and Stochastic Processes, Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2021, 93 (6), pp.886-906. ⟨10.1080/17442508.2020.1815746⟩, Stochastics: An International Journal of Probability and Stochastic Processes, 2021, 93 (6), pp.886-906. ⟨10.1080/17442508.2020.1815746⟩
- Publication Year :
- 2020
- Publisher :
- Informa UK Limited, 2020.
-
Abstract
- We show that the unique solution to a semilinear stochastic differential equation with almost periodic coefficients driven by a fractional Brownian motion is almost periodic in a sense related to random dynamical systems. This type of almost periodicity allows for the construction of a consistent estimator of the drift parameter in the almost periodic and periodic cases.<br />18 pages
- Subjects :
- Statistics and Probability
Fractional Brownian motion
Differential equation
Probability (math.PR)
010102 general mathematics
Mathematical analysis
Sense (electronics)
16. Peace & justice
01 natural sciences
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
010104 statistics & probability
Stochastic differential equation
Modeling and Simulation
FOS: Mathematics
60H10
0101 mathematics
Mathematics - Probability
Mathematics
Subjects
Details
- ISSN :
- 17442516 and 17442508
- Volume :
- 93
- Database :
- OpenAIRE
- Journal :
- Stochastics
- Accession number :
- edsair.doi.dedup.....dc593a8cad03d3ac4dd50fb15a1da1f6
- Full Text :
- https://doi.org/10.1080/17442508.2020.1815746