On inference for fractional differential equations
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DOI: 10.1007/s11203-013-9076-z
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References listed on IDEAS
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Cited by:
- Liu, Yanghui & Nualart, Eulalia & Tindel, Samy, 2019. "LAN property for stochastic differential equations with additive fractional noise and continuous time observation," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2880-2902.
- Fabienne Comte & Nicolas Marie, 2019. "Nonparametric estimation in fractional SDE," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 359-382, October.
- Marie, Nicolas, 2020. "Nonparametric estimation of the trend in reflected fractional SDE," Statistics & Probability Letters, Elsevier, vol. 158(C).
- Yamada, Toshihiro, 2015. "A formula of small time expansion for Young SDE driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 101(C), pages 64-72.
- Fabienne Comte & Nicolas Marie, 2021. "Nonparametric estimation for I.I.D. paths of fractional SDE," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 669-705, October.
- Zhang, Pu & Xiao, Wei-lin & Zhang, Xi-li & Niu, Pan-qiang, 2014. "Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation," Economic Modelling, Elsevier, vol. 36(C), pages 198-203.
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Keywords
Fractional brownian motion; Stochastic differential equations; Malliavin calculus; Inference for stochastic processes; 60H35; MSC 60H07; 60H10; 65C30; 62M09;All these keywords.
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