On inference for fractional differential equations

Alexandra Chronopoulou; Samy Tindel

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arXiv · 1104.3966

On inference for fractional differential equations

Alexandra Chronopoulou·Samy Tindel

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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.

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Alexandra Chronopoulou, Samy Tindel. 2011-04-20. On inference for fractional differential equations. https://arxiv.org/abs/1104.3966

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