Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
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Publication:2637204
DOI10.1016/j.spa.2013.11.004zbMath1285.60068arXiv1211.4813OpenAlexW2137714751MaRDI QIDQ2637204
Samy Tindel, Serge Cohen, Fabien Panloup
Publication date: 7 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.4813
Gaussian processes (60G15) Stationary stochastic processes (60G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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A general drift estimation procedure for stochastic differential equations with additive fractional noise, Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise, Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory
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