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Nonparametric estimation for periodic stochastic differential equations driven by G-Brownian motion

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  • Zhang, Xuekang
  • Huang, Chengzhe
  • Deng, Shounian

Abstract

The paper is concerned with the nonparametric estimation problem for periodic stochastic differential equations driven by G-Brownian motion based on continuous observations. The consistency and asymptotic distribution of the nonparametric estimator are discussed. Computer simulations are performed to illustrate our theory.

Suggested Citation

  • Zhang, Xuekang & Huang, Chengzhe & Deng, Shounian, 2024. "Nonparametric estimation for periodic stochastic differential equations driven by G-Brownian motion," Statistics & Probability Letters, Elsevier, vol. 214(C).
    • Handle: RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001718
    DOI: 10.1016/j.spl.2024.110202
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    References listed on IDEAS

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    1. Gao, Fuqing, 2009. "Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3356-3382, October.
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    3. Xuekang Zhang & Shounian Deng & Weiyin Fei, 2023. "Nonparametric Estimation of Trend for Stochastic Processes Driven by G-Brownian Motion with Small Noise," Methodology and Computing in Applied Probability, Springer, vol. 25(2), pages 1-14, June.
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    8. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
    9. Rifhat, Ramziya & Wang, Lei & Teng, Zhidong, 2017. "Dynamics for a class of stochastic SIS epidemic models with nonlinear incidence and periodic coefficients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 176-190.
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