On a computable Skorokhod's integral‐based estimator of the drift parameter in fractional SDE
研究了基于Skorokhod积分的漂移参数最小二乘估计量，利用分数布朗运动驱动的随机微分方程的多个副本（可能相关）进行计算，并给出了估计量的收敛性结果。
Abstract This paper deals with a Skorokhod's integral‐based least squares‐ (LS) type estimator of the drift parameter computed from multiple (possibly dependent) copies of the solution of a stochastic differential equation (SDE) driven by a fractional Brownian motion of Hurst index . On the one hand, some convergence results are established on our LS estimator when . On the other hand, when , Skorokhod's integral‐based estimators cannot be computed from data, but in this paper some convergence results are established on a computable approximation of our LS estimator.