Controlled Drift Estimation in the Mixed Fractional Ornestein-Uhlenbeck Process

09/08/2020 ∙ by Chunhao Cai, et al. ∙ 0

This paper is devoted to the determination of the asymptotical optimal input for the estimation of the drift parameter in a Directly observed but controlled fractional Ornstein-Uhlenbeck process. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations.

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