  We consider a stochastic differential equation involving standard and
fractional Brownian motion with unknown drift parameter to be estimated. We
investigate the standard maximum likelihood estimate of the drift parameter,
two non-standard estimates and three estimates for the sequential estimation.
Model strong consistency and some other properties are proved. The linear model
and Ornstein-Uhlenbeck model are studied in detail. As an auxiliary result, an
asymptotic behavior of the fractional derivative of the fractional Brownian
motion is established.

Probability;Methodology