Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory

This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem, we propose a novel approach based on rough path theory that allows us to construct pathwise rough path estimators from...

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Veröffentlicht in:Acta mathematica scientia 2024-09, Vol.44 (5), p.1609-1638
Hauptverfasser: Qian, Zhongmin, Xu, Xingcheng
Format: Artikel
Sprache:eng
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Zusammenfassung:This paper addresses the estimation problem of an unknown drift parameter matrix for a fractional Ornstein-Uhlenbeck process in a multi-dimensional setting. To tackle this problem, we propose a novel approach based on rough path theory that allows us to construct pathwise rough path estimators from both continuous and discrete observations of a single path. Our approach is particularly suitable for high-frequency data. To formulate the parameter estimators, we introduce a theory of pathwise Itô integrals with respect to fractional Brownian motion. By establishing the regularity of fractional Ornstein-Uhlenbeck processes and analyzing the long-term behavior of the associated Lévy area processes, we demonstrate that our estimators are strongly consistent and pathwise stable. Our findings offer a new perspective on estimating the drift parameter matrix for fractional Ornstein-Uhlenbeck processes in multi-dimensional settings, and may have practical implications for fields including finance, economics, and engineering.
ISSN:0252-9602
1572-9087
DOI:10.1007/s10473-024-0501-8