We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$H1/2$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mi>H</mi> <mo></mo> <mn>1</mn> <mo stretchy="false">/</mo> <mn>2</mn> </mrow> </math> </EquationSource> </InlineEquation>. The estimator is based on discrete time observations of the stochastic differential...</equationsource></equationsource></inlineequation>

We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter, we consider three different regimes. For each regime, we...

In this paper we consider a wide class of truncated stochastic approximation procedures. These procedures have three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function. We establish...