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Asymptotic Equivalence of Discretely Observed Fractional Randleman-Bartter Model to a Fractional Gaussian Shift |
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PP: 173-189 |
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doi:10.18576/jsapl/100305
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Author(s) |
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Jaya P. N. Bishwal,
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Abstract |
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| We show that the solution of the fractional Rendleman-Bartter model observed in discrete time points is asymptotically equivalent to a fractional Gaussian white noise model. Next we estimate the drift parameter of fractional diffusions after discretizing the models by using a weak perturbed random walk approximation of fractional Brownian motion. Then we study the problem of testing of the parametric form of the volatility in a stochastic differential equation driven by fractional Brownian motion. Finally we study semiparametric estimation of forward-backward stochastic differential equations.
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