Malliavin Derivative for the Unknown Parameter in surplus process with mixed fractional Brownian motion

Chunhao Cai; Yingzhong Huang

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arXiv · 1802.00982

Malliavin Derivative for the Unknown Parameter in surplus process with mixed fractional Brownian motion

Chunhao Cai·Yingzhong Huang

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Abstract

In this paper, we will construct the Malliavin derivative and the stochastic integral with respect to the Mixed fractional Brownian motion (mfbm) for H > 1/2. As an application, we try to estimate the drift parameter via Malliavin derivative for surplus process with mixed fractional Brownian motion

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Chunhao Cai, Yingzhong Huang. 2018-02-03. Malliavin Derivative for the Unknown Parameter in surplus process with mixed fractional Brownian motion. https://arxiv.org/abs/1802.00982

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