Fractional Ornstein–Uhlenbeck process is an extended model of the traditional Ornstein–Uhlenbeck process that provides some useful models for many physical and financial phenomena demonstrating long-range dependencies. Obviously, if some phenomenon can be modeled by fractional...

This paper deals with the problem of estimating the parameters of mixed Brownian–fractional Brownian motions with the combination of maximum likelihood approach and Powell's method. The maximum likelihood estimators are obtained based on the approximation by random walks of the driving noise....