时间🧑🏿🦳：6月25日上午9点-10点
地点：法商南楼135
报告人:Yaozhong Hu, Department of Mathematical and Statistical Sciences, University of Alberta, Canada
报告题目🏃🏻：Drift parameter estimator in linear and nonlinear stochastic differential equation driven by fractional Brownian motions
报告简介🧑🏿🦰：We derive the strong consistency of the least squares estimator for the drift coefficient of a fractional stochastic differential system. The drift coefficient is one-sided dissipative Lipschitz and the driving noise is additive and fractional with Hurst parameter $H\in (1/4, 1)$ that continuous observation is possible. The main tools are ergodic theorem and Malliavin calculus. As a by-product, we derive a maximum inequality for Skorohod integrals, which plays an important role to obtain the strong consistency of the least squares estimator. This is from the joint work with David Nualart and Hongjuan Zhou.