Modern Stochastics: Theory and Applications

In this paper, we deal with an Ornstein–Uhlenbeck process driven by sub-fractional Brownian motion of the second kind with Hurst index $H\in (\frac{1}{2},1)$. We provide a least squares estimator (LSE) of the drift parameter based on continuous-time observations. The strong consistency and the upper bound $O(1/\sqrt{n})$ in Kolmogorov distance for central limit theorem of the LSE are obtained. We use a Malliavin–Stein approach for normal approximations.

Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional Brownian motion and the multifractional Ornstein-Uhlenbeck process. By an Itô formula, proven in the context of Malliavin calculus, the BSDE is associated to a linear second order partial differential equation with terminal condition whose solution is given by a Feynman-Kac type formula.

In this paper we present a numerical scheme for stochastic differential equations based upon the Wiener chaos expansion. The approximation of a square integrable stochastic differential equation is obtained by cutting off the infinite chaos expansion in chaos order and in number of basis elements. We derive an explicit upper bound for the ${L^{2}}$ approximation error associated with our method. The proofs are based upon an application of Malliavin calculus.

The article is devoted to the estimation of the convergence rate of integral functionals of a Markov process. Under the assumption that the given Markov process admits a transition probability density differentiable in t and the derivative has an integrable upper bound of a certain type, we derive the accuracy rates for strong and weak approximations of the functionals by Riemannian sums. We also develop a version of the parametrix method, which provides the required upper bound for the derivative of the transition probability density for a solution of an SDE driven by a locally stable process. As an application, we give accuracy bounds for an approximation of the price of an occupation time option.

In this paper, we provide strong $L_{2}$-rates of approximation of the integral-type functionals of Markov processes by integral sums. We improve the method developed in [2]. Under assumptions on the process formulated only in terms of its transition probability density, we get the accuracy that coincides with that obtained in [3] for a one-dimensional diffusion process.

We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional part satisfies $H\in (3/4,1)$, the central limit theorem holds. In the nonsemimartingale case, that is, where $H\in (1/2,3/4]$, the convergence toward the normal distribution with a nonzero mean still holds if $H=3/4$, whereas for the other values, that is, $H\in (1/2,3/4)$, the central convergence does not take place. We also provide Berry–Esseen estimates for the estimator.

We provide strong $L_{p}$-rates of approximation of nonsmooth integral-type functionals of Markov processes by integral sums. Our approach is, in a sense, process insensitive and is based on a modification of some well-developed estimates from the theory of continuous additive functionals of Markov processes.

The LAN property is proved in the statistical model based on discrete-time observations of a solution to a Lévy driven SDE. The proof is based on a general sufficient condition for a statistical model based on discrete observations of a Markov process to possess the LAN property, and involves substantially the Malliavin calculus-based integral representations for derivatives of log-likelihood of the model.