Superefficient drift estimation on the Wiener space

Nicolas Privault (1) , Anthony Réveillac (2)

1 SPMS-PAP-02-01 - Division of Physics and Applied Physics [Nanyang Technological University]
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

In the framework of a nonparametric functional estimation for the drift of a Brownian motion Xt we construct Stein type estimators of the form Xt+DtlogF which are superefficient when View the MathML source is a superharmonic functional on the Wiener space for the Malliavin derivative D.

Domaines: Probabilités [math.PR]

Nicolas Privault, Anthony Réveillac. Superefficient drift estimation on the Wiener space. Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2006, 343 (09), pp.607-612. ⟨10.1016/j.crma.2006.10.002⟩. ⟨hal-00918469⟩