Publications and Preprints

We investigate the rate of convergence of the distribution of the maximum likelihood estimator (MLE) of an unknown parameter in the drift coefficient of a stochastic process described by a linear stochastic differential equation driven by a fractional Brownian Motion (fBM). As a special case, we obtain the rate of convergence for the case of the fractional Ornstein-Uhlenbeck type process studied recently by Kleptsyna and Le Breton (2002).