Parameter inference for hypo-elliptic diffusions under a weak design condition
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited in
(5)- Adaptive elastic-net estimation for sparse diffusion processes
- Strang splitting for parametric inference in second-order stochastic differential equations
- Parameter inference for hypo-elliptic diffusions under a weak design condition
- A Fourier-based inference method for learning interaction kernels in particle systems
- A closed-form transition density expansion for elliptic and hypo-elliptic SDEs
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