arXiv subjects

Kasia B. Taylor

Publications and source records attributed to Kasia B. Taylor.

2 recordsLinked to original sources

arXiv2018

Approximate Likelihood Construction for Rough Differential Equations

The paper is split in two parts: in the first part, we construct the exact likelihood for a discretely observed rough differential equation, driven by a piecewise linear path. In the second part, we use this likelihood in order to construct an approximation of the likelihood for a discretely observed differential equation driven by a general class of rough paths. Finally, we study the behaviour of the approximate likelihood when the sampling frequency tends to infinity.

math.ST↗

arXiv2015

Exact sampling of diffusions with a discontinuity in the drift

We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of finite-dimensional candidate draws from probability laws related to those of Brownian motion and its local time and are based on the principle of retrospective rejection sampling. A simple illustration is provided.

stat.ME↗