Theory of Probability and Mathematical Statistics

The local asymptotic normality of a family of measures generated by solutions of stochastic differential equations with a small fractional Brownian motion

Author(s): T. Androshchuk
Translated by: V. V. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 71 (2004).
Journal: Theor. Probability and Math. Statist. No. 71 (2005), 1-15.
MSC (2000): Primary 62F12; Secondary 60G15, 60H10
Posted: December 30, 2005
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Abstract: A formula for the likelihood ratio of measures generated by solutions of a stochastic differential equation with a fractional Brownian motion is established in the paper. We find sufficient conditions that the family of measures generated by solutions of such an equation is locally asymptotically normal.

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Retrieve articles in Theory of Probability and Mathematical Statistics with MSC (2000): 62F12, 60G15, 60H10

T. Androshchuk
Affiliation: Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue, 6, Kyiv 03127, Ukraine
Email: nutaras@univ.kiev.ua

DOI: 10.1090/S0094-9000-05-00643-5
PII: S 0094-9000(05)00643-5
Keywords: Fractional brownian motion, local asymptotic normality of a system of measures, dynamic systems with small noise
Received by editor(s): 12/MAR/2004
Posted: December 30, 2005
Copyright of article: Copyright 2005, American Mathematical Society

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ISSN: 1547-7363(e) 0094-9000(p)

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