Stochastics & Finance seminar: Kostiantyn Ralchenko -- Drift parameters estimation in the fractional Vasicek model

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Tuesday
March 7, Kostiantyn Ralchenko will give a talk in Carslaw 535 (and on zoom).  

Zoom link: https://uni-sydney.zoom.us/j/84240252220 

Speaker: Kostiantyn Ralchenko (Taras Shevchenko National University of Kyiv) 

Title: Drift parameters estimation in the fractional Vasicek model 

Abstract: We investigate the fractional Vasicek model described by the stochastic
Langevin equation driven by fractional Brownian motion.  We study the maximum likelihood
estimators for unknown drift parameters based on the continuous-time observations of the
solution.  We derive their joint asymptotic distribution and prove their asymptotic
independence.  Both ergodic and non-ergodic cases are considered.  

https://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

Please feel free to forward this message to anyone who might be interested in this
talk.  

Best wishes, 

Anna