On inference for fractional differential equations
نویسندگان
چکیده
On inference for fractional differential equations Alexandra Chronopoulou and Samy Tindel Institut Élie Cartan Nancy, B.P. 239, 54506 Vandoeuvre-lès-Nancy Cedex, France. e-mail: [email protected] ; [email protected] 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. AMS 2000 subject classifications: Primary 60H35; secondary 60H07, 60H10, 65C30, 62M09.
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