Drift parameter estimation in diffusion and fractional diffusion models

Abstract

The present chapter is devoted to the drift parameter estimation in the diffusion, fractional diffusion and mixed Brownian-fractional Brownian diffusion models. More precisely, we consider the solutions of SDEs involving Wiener process, fractional or mixed fractional Brownian motion with the linear unknown drift parameter to be estimated. In the case when fBm is involved, we always assume Hurst index to be known.