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Superefficient drift estimation on the Wiener space

Authors :
Privault, Nicolas
Réveillac, Anthony
Source :
Comptes Rendus. Mathématique. Nov2006, Vol. 343 Issue 9, p607-612. 6p.
Publication Year :
2006

Abstract

Abstract: In the framework of a nonparametric functional estimation for the drift of a Brownian motion we construct Stein type estimators of the form which are superefficient when is a superharmonic functional on the Wiener space for the Malliavin derivative D. To cite this article: N. Privault, A. Réveillac, C. R. Acad. Sci. Paris, Ser. I 343 (2006). [Copyright &y& Elsevier]

Subjects

Subjects :
*MALLIAVIN calculus
*WIENER processes
*FLUCTUATIONS (Physics)
*STOCHASTIC analysis
*MARKOV processes

Details

Language :
English
ISSN :
1631073X
Volume :
343
Issue :
9
Database :
Academic Search Index
Journal :
Comptes Rendus. Mathématique
Publication Type :
Academic Journal
Accession number :
23050969
Full Text :
https://doi.org/10.1016/j.crma.2006.10.002
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