Maximum Likelihood Estimation in the Fractional Vasicek Model

Abstract

We consider the fractional Vasicek model of the form dX_t = (α-βX_t)dt +γdB^H_t , driven by fractional Brownian motion B^H with Hurst parameter H ∈ (1/2,1). We construct the maximum likelihood estimators for unknown parameters α and β, and prove their consistency and asymptotic normality.