Parameter estimation for the mean reversion parameter for the mixed Ornstein-Uhlenbeck process

02/03/2018

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by   Chunhao Cai, et al.

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This paper constructs the skorohod integral and symmetric path-wise integral with respect to the mixed fractional Brownian motion, which is a linear combination of a. Brownian motion and an independent fractional Brownian motion. We also study the least square estimator of the drift parameter of the mixed fractional O-U process.