Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 417
Nonparametric estimation for fractional Black-Scholes processes with random effects
Souad Ichi, Hamid El Maroufy
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
January 31, 2022
March 03, 2351
April 15, 2351

Abstract: We present the problem of estimating the density from Stochastic Differential Equations with drift depending on random effects driven by normalized fractional Brownian motion. We extend the existing works given by El Omari et al. [1–3], which considered the problem of stochastic differential equations with random effects driven by fractional Brownian motion, but the Hurst parameter is considered known on the range (1/2,1). In this communication, we build estimators of density based on deconvolution tools that estimators depend on two tuning parameters which were selected in a data-driven ...