摘要：We consider the minimum L 1 -norm estimator θ ε ∗ of the parameter θ of a linear stochastic differential equation d X t = θ X t d t + ε d B t H , X 0 = x 0 , where { B t H , 0 ≤ t ≤ T } is a fractional Brownian motion. The asymptotic law of its limit distribution is studied for T → + ∞ , when ε → 0 .
关键词：fractional Ornstein-Uhlenbeck process ; minimum L 1 -norm estimator ; fractional Brownian motion ; asymptotic law
