On a Computable Skorokhod's Integral Based Estimator of the Drift Parameter in Fractional SDE

This paper deals with a Skorokhod's integral based least squares type estimator $\widehat\theta_N$ of the drift parameter $\theta_0$ computed from $N\in\mathbb N^*$ copies $X^1,\dots,X^N$ of the solution $X$ to $dX_t =\theta_0b(X_t)dt +\sigma dB_t$, where $B$ is a fractional Brownian motion of Hurst index $H\in [1/2,1)$. On the one hand, a risk bound is established on $\widehat\theta_N$ when $H = 1/2$ and $X^1,\dots,X^N$ are dependent copies of $X$. On the other hand, when $H > 1/2$, Skorokhod's integral based estimators as $\widehat\theta_N$ cannot be computed directly from data, but in this paper some convergence results are established on a computable approximation of $\widehat\theta_N$ when $X^1,\dots,X^N$ are independent.