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2 papers

math.NA2026

Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion via Fractional Calculus Techniques

Alexander Abreu, Héctor Araya, Lisandro Fermin +2

We study a stochastic functional differential equation (SFDE) with memory driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2. An Euler-type numerical scheme is…

stat.ME2026

A Robbins-Monro algorithm for non-parametric estimation of NAR process with Markov-Switching: asymptotic normality

Lisandro Fermin, Ricardo Rios, Luis-Ángel Rodríguez

This paper is the second part of our study on the non-parametric estimation of MS-NAR processes started with [L. Fermin et al. 2017]. We consider the Nadaraya-Watson type regressio…