WebOct 1, 2024 · We deal with the fractional Ornstein–Uhlenbeck (fO–U) process driven by the fractional Brownian motion (fBm), where the drift parameter \(\alpha \) of the fO–U process is any unknown real ... http://emis.maths.adelaide.edu.au/journals/EJP-ECP/article/view/125.html
First-passage functionals for Ornstein Uhlenbeck process with ...
WebDec 29, 2024 · We consider the fractional analogue of the Ornstein–Uhlenbeck process, that is, the solution of a one-dimensional homogeneous linear stochastic differential … WebThe paper studies long time asymptotic properties of the Maximum Likelihood Estimator (MLE) for the signal drift parameter in a partially observed fractional diffusion system. Using the method of weak convergence of likelihoods due to Ibragimov and Khasminskii (Statistics of random processes, 1981), consistency, asymptotic normality and convergence of the … haier qhe16hypafs
[1904.12814] The standard and the fractional Ornstein …
WebAug 3, 2024 · This paper proposes to model the spreads associated with financial asset prices by fractional Ornstein – Uhlenbeck (fOU) processes and constructs a pairs trading strategy based on the fOU spread model. It is shown that the Hurst parameter of the fOU process contains substantial information about the anti-persistence, or mean-reversion ... WebOrnsteinUhlenbeckProcess. OrnsteinUhlenbeckProcess [ μ, σ, θ] represents a stationary Ornstein – Uhlenbeck process with long-term mean μ, volatility , and mean reversion speed θ. OrnsteinUhlenbeckProcess [ μ, σ, θ, x0] represents an Ornstein – Uhlenbeck process with initial condition x0. WebJan 1, 2024 · Large deviations for drift parameter estimator of a mixed fractional Ornstein–Uhlenbeck process were studied by Marushkevych ( 2016 ). The Vasicek model was introduced by Vasicek ( 1977) for modeling interest rates in finance. It is a model of the form. \begin {aligned} dX_t= (\alpha -\beta X_t)dt+ \gamma dW_t, 0\le t \le T \end {aligned} haier qhek08ac