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arXiv · 2604.03722

Statistical Inference for Fractional Diffusions

Pablo Ramses Alonso-Martin·Horatio Boedihardjo·Anastasia Papavasiliou
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Abstract

This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them. The second section reviews existing theory of statistical inference for fractional diffusions, identifies remaining challenges and introduces a novel approach. The final section discusses results for the case where fractional diffusions result as a homogenisation limit.

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Pablo Ramses Alonso-Martin, Horatio Boedihardjo, Anastasia Papavasiliou. 2026-04-04. Statistical Inference for Fractional Diffusions. https://arxiv.org/abs/2604.03722

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