On a computable Skorokhod's integral‐based estimator of the drift parameter in fractional SDE.

This paper deals with a Skorokhod's integral‐based least squares‐ (LS) type estimator of the drift parameter computed from multiple (possibly dependent) copies of the solution of a stochastic differential equation (SDE) driven by a fractional Brownian motion of Hurst index H∈(1/3,1)$$ H\in \left(1/3,1\right) $$. On the one hand, some convergence results are established on our LS estimator when H=1/2$$ H=1/2 $$. On the other hand, when H≠1/2$$ H\ne 1/2 $$, Skorokhod's integral‐based estimators cannot be computed from data, but in this paper some convergence results are established on a computable approximation of our LS estimator. [ABSTRACT FROM AUTHOR]