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Parameter estimation for stochastic equations with additive fractional Brownian sheet

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Abstract

We study the maximum likelihood estimator for stochastic equations with additive fractional Brownian sheet. We use the Girsanov transform for the the two-parameter fractional Brownian motion, as well as the Malliavin calculus and Gaussian regularity theory.

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Authors and Affiliations

  1. Reykjavik University, Kringlan 1, 103, Reykjavik, Iceland

    Tommi Sottinen

  2. Department of Mathematics and Statistics, University of Helsinki, PO Box 68, 00014, Helsinki, Finland

    Tommi Sottinen

  3. SAMOS-MATISSE, Université de Panthéon-Sorbonne Paris 1, 90 rue de Tolbiac, 75634, Paris Cedex 13, France

    Ciprian A. Tudor

Authors
  1. Tommi Sottinen
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  2. Ciprian A. Tudor
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Correspondence to Tommi Sottinen.

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Sottinen, T., Tudor, C.A. Parameter estimation for stochastic equations with additive fractional Brownian sheet. Stat Infer Stoch Process 11, 221–236 (2008). https://doi.org/10.1007/s11203-007-9019-7

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  • DOI: https://doi.org/10.1007/s11203-007-9019-7

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