Abstract
In this work, we present the analysis of a mixed weighted fractional Brownian motion, defined by
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(t):=B-t+
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(t), where B is a Brownian motion and
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is an independent weighted fractional Brownian motion. We also consider the parameter estimation problem for the drift parameter
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> 0 in the mixed weighted fractional Ornstein-Uhlenbeck model of the form X-0=0;X-t=
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X(t)dt+d
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(t). Moreover, a simulation is given of sample paths of the mixed weighted fractional Ornstein-Uhlenbeck process.