Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes

Petr Čoupek, Pavel Kříž and Bohdan Maslowski

Stochastic Processes and their Applications, 2025, vol. 179, issue C

Abstract: In this paper, we study parameter identification for solutions to (possibly non-linear) SDEs driven by additive Rosenblatt process and singularity of the induced laws on the path space. We propose a joint estimator for the drift parameter, diffusion intensity, and Hurst index that can be computed from discrete-time observations with a bounded time horizon and we prove its strong consistency under in-fill asymptotics with a fixed time horizon. As a consequence of this strong consistency, singularity of measures generated by the solutions with different drifts is shown. This results in the invalidity of a Girsanov-type theorem for Rosenblatt processes.

Keywords: Parameter estimation; Rosenblatt process; High-frequency data; Girsanov theorem (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spa.2024.104499

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