时间◼️：2019年5月30号(星期四) 上午10:00-11:00
地点：闵行校区法商南楼135
题目🦉：Statistical inference for stochastic differential equations driven by fractional Brownian motion
报告人：Hongjuan Zhou (Arizona State University)
摘要：We are interested in the statistical inference for the SDE $dX_t=-f(\theta, X_t)dt+\sigma_t dB^H_t$. In this talk, we will first discuss the least squares estimation method for the drift parameter of the fractional Ornstein-Uhlenbeck processes. Then the results are generalized for the nonlinear stochastic differential system. Regarding the volatility and the Hurst parameter, we construct the consistent estimators based on the iterated power variation method.