分数布朗运动模型中贝叶斯估计的渐近正态性
분수포랑운동모형중패협사고계적점근정태성
ASYMPTOTIC NORMALITY OF THE BAYES ESTIMATOR IN FRACTIONAL BROWNIAN MOTION MODEL
  • 万方数据
    数学杂志 수학잡지
    JOURNAL OF MATHEMATICS
    2008年 5期 499-502 ,共4页

    商豪%苗雨%李标

    상호%묘우%리표

    分数布朗运动%渐近正态性%Girsanov定理%Bayes估计 分數佈朗運動%漸近正態性%Girsanov定理%Bayes估計
    분수포랑운동%점근정태성%Girsanov정리%Bayes고계
    fractional Brownian motion%asymptotic normality%Girsanov formula%Bayes estimator
    本文研究了由分数布朗运动驱动的线性随机微分方程中贝叶斯估计的渐近趋势.利用分数布朗运动的随机积分理论和Girsanov公式,得到了在平方损失函数下贝叶斯估计的渐近正态性.
    본문연구료유분수포랑운동구동적선성수궤미분방정중패협사고계적점근추세.이용분수포랑운동적수궤적분이론화Girsanov공식,득도료재평방손실함수하패협사고계적점근정태성.
    In this paper, we discuss the asymptotic behavior of the Bayes estimator for a linear stochastic differential equation with factional Brownian motion. According to the stochastic analysis for fractional Brownian motion and Girsanov formula, we obtain the asymptotic normality of the usual Bayes estimator under quadratic loss function.
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