On inference for fractional differential equations

DOI10.1007/s11203-013-9076-zzbMath1271.62197arXiv1104.3966MaRDI QIDQ1943988

Alexandra Chronopoulou, Samy Tindel

Publication date: 3 April 2013

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.3966

zbMATH Keywords

fractional Brownian motion; Malliavin calculus; stochastic differential equations; inference for stochastic processes

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H07: Stochastic calculus of variations and the Malliavin calculus

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets, Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory, A formula of small time expansion for Young SDE driven by fractional Brownian motion, Sensitivity of rough differential equations: an approach through the omega lemma, A general drift estimation procedure for stochastic differential equations with additive fractional noise, Nonparametric estimation for i.i.d. paths of fractional SDE, LAN property for stochastic differential equations with additive fractional noise and continuous time observation, Nonparametric estimation of the trend in reflected fractional SDE, Nonparametric estimation in fractional SDE, Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions, Nonparametric inference for fractional diffusion, A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise, A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus

Cites Work

• Unnamed Item
• Unnamed Item
• A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
• Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
• Parameter estimation for rough differential equations
• Malliavin calculus for fractional delay equations
• Trees and asymptotic expansions for fractional stochastic differential equations
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Integration with respect to fractal functions and stochastic calculus. I
• Stock market prices and long-range dependence
• Arbitrage in fractional Brownian motion models
• Arbitrage opportunities for a class of Gladyshev processes
• Differential equations driven by fractional Brownian motion
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Ergodicity of stochastic differential equations driven by fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Potential theory for hyperbolic SPDEs.
• Controlling rough paths
• Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
• Efficient Monte Carlo simulation of security prices
• Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
• Ergodic theory for SDEs with extrinsic memory
• Statistical aspects of the fractional stochastic calculus
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Multidimensional Stochastic Processes as Rough Paths
• Maximum Likelihood Theory for Large Interacting Systems
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
• A simple framework to justify linear response theory
• Arbitrage with Fractional Brownian Motion
• OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
• System Control and Rough Paths
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• A Stochastic Approximation Method
• Multidimensional Stochastic Approximation Methods