Add to ORKG15 pagesWe study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of the stochastic differential equation, and using tools from ergodic theory and stochastic analysis we derive its strong consistency
This paper proposes consistent and asymptotically Gaussian estimators for the parameters λ, σ and H ...
International audienceIn this paper, we establish concentration inequalities both for functionals of...
In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...
International audienceWe apply the techniques of stochastic integration with respect to the fraction...
We consider a stochastic differential equation with additive fractional noise of Hurst parameter H >...
33 pages, 2 figures.International audienceBased on Malliavin calculus tools and approximation result...
AbstractConsider the following Itô stochastic differential equation dX(t) = ƒ(θ0, X(t)) dt + dW(t), ...
1 figureIn this paper we obtain Gaussian type lower bounds for the density of solutions to stochasti...
International audienceIn a previous paper, we studied the ergodic properties of an Euler scheme of a...
We study a least squares estimator for an unknown parameter in the drift coefficient of a path- dist...
This dissertation systematically considers the inference problem for stochastic differential equatio...
The starting point for the thesis is an Ornstein-Uhlenbeck type stochastic differential equation dXt...
AbstractWe study pathwise approximation of scalar stochastic differential equations with additive fr...
Abstract. We study parameter estimation problem for diagonalizable stochastic partial differential e...
International audienceWe study the maximum likelihood estimator for stochastic equations with additi...
This paper proposes consistent and asymptotically Gaussian estimators for the parameters λ, σ and H ...
International audienceIn this paper, we establish concentration inequalities both for functionals of...
In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...
International audienceWe apply the techniques of stochastic integration with respect to the fraction...
We consider a stochastic differential equation with additive fractional noise of Hurst parameter H >...
33 pages, 2 figures.International audienceBased on Malliavin calculus tools and approximation result...
AbstractConsider the following Itô stochastic differential equation dX(t) = ƒ(θ0, X(t)) dt + dW(t), ...
1 figureIn this paper we obtain Gaussian type lower bounds for the density of solutions to stochasti...
International audienceIn a previous paper, we studied the ergodic properties of an Euler scheme of a...
We study a least squares estimator for an unknown parameter in the drift coefficient of a path- dist...
This dissertation systematically considers the inference problem for stochastic differential equatio...
The starting point for the thesis is an Ornstein-Uhlenbeck type stochastic differential equation dXt...
AbstractWe study pathwise approximation of scalar stochastic differential equations with additive fr...
Abstract. We study parameter estimation problem for diagonalizable stochastic partial differential e...
International audienceWe study the maximum likelihood estimator for stochastic equations with additi...
This paper proposes consistent and asymptotically Gaussian estimators for the parameters λ, σ and H ...
International audienceIn this paper, we establish concentration inequalities both for functionals of...
In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...