On inference for fractional differential equations

Alexandra Chronopoulou () and Samy Tindel ()

Statistical Inference for Stochastic Processes, 2013, vol. 16, issue 1, 29-61

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. Copyright Springer Science+Business Media Dordrecht 2013

Keywords: Fractional brownian motion; Stochastic differential equations; Malliavin calculus; Inference for stochastic processes; 60H35; MSC 60H07; 60H10; 65C30; 62M09 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s11203-013-9076-z

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