Stochastic integral with respect to the mixed fractional Brownian motion and drift estimation of the mixed fraction Ornstein-Ulenbeck process

02/03/2018

∙

by   Chunhao Cai, et al.

∙

0

∙

share

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.