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 F is a superharmonic functional on the Wiener space for the Malliavin derivative D.

Received: 2006-05-07
Accepted: 2006-09-26
Published online: 2006-10-24
DOI: 10.1016/j.crma.2006.10.002

@article{CRMATH_2006__343_9_607_0,
     author = {Nicolas Privault and Anthony R\'eveillac},
     title = {Superefficient drift estimation on the {Wiener} space},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {607--612},
     publisher = {Elsevier},
     volume = {343},
     number = {9},
     year = {2006},
     doi = {10.1016/j.crma.2006.10.002},
     language = {en},
}

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VL  - 343
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PB  - Elsevier
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Nicolas Privault; Anthony Réveillac. Superefficient drift estimation on the Wiener space. Comptes Rendus. Mathématique, Volume 343 (2006) no. 9, pp. 607-612. doi : 10.1016/j.crma.2006.10.002. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2006.10.002/