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 |
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| creator | Bertin, Karine Klutchnikoff, Nicolas Panloup, Fabien Varvenne, Maylis |
| description | 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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| language | eng |
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| subjects | Brownian motion Density Differential equations |
| title | Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion |
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