Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion

Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion

We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary regime.

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Veröffentlicht in:arXiv.org 2020-03
Hauptverfasser: Bertin, Karine, Klutchnikoff, Nicolas, Panloup, Fabien, Varvenne, Maylis
Format: Artikel
Sprache:eng
Schlagworte:
Brownian motion
Density
Differential equations
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Zusammenfassung:We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary regime.
ISSN:2331-8422