Modern Stochastics: Theory and Applications

The mixed model with polynomial drift of the form $X(t)=\theta \mathcal{P}(t)+\alpha W(t)+\sigma {B_{H}^{n}}(t)$ is studied, where ${B_{H}^{n}}$ is the nth-order fractional Brownian motion with Hurst index $H\in (n-1,n)$ and $n\ge 2$, independent of the Wiener process W. The polynomial function $\mathcal{P}$ is known, with degree $d(\mathcal{P})\in [1,n)$. Based on discrete observations and using the ergodic theorem estimates of H, ${\alpha ^{2}}$ and ${\sigma ^{2}}$ are given. Finally, a continuous time maximum likelihood estimator of θ is provided. Both strong consistency and asymptotic normality of the proposed estimators are established.