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1 BIGS - Biology, genetics and statistics IECN - Institut Élie Cartan de Nancy, INRIA Lorraine 2 Probabilités et statistiques IECL - Institut Élie Cartan de Lorraine

Abstract : Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter H>1-2. Rates of convergence for the approximation task are provided, and numerical experiments show that our procedure leads to good results in terms of estimation.

Keywords : Inference for stochastic processes Malliavin calculus Fractional Brownian motion Stochastic differential equations

Autor: Alexandra Chronopoulou - Samy Tindel -

Fuente: https://hal.archives-ouvertes.fr/


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