On inference for fractional differential equations

Details On inference for fractional differential equations On inference for fractional differential equations

2011-04-20

arxiv.org/abs/1104.3966v1

Mathematics

Probability

33 pages, 2 figures

Scientific paper

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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