On inference for fractional differential equations

DOI10.1007/s11203-013-9076-zzbMath1271.62197arXiv1104.3966OpenAlexW2054571923MaRDI 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 motionMalliavin calculusstochastic differential equationsinference for stochastic processes

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (13)

Short time kernel asymptotics for Young SDE by means of Watanabe distribution theory ⋮ A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus ⋮ A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ 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 ⋮ 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 ⋮ 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 ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets

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