13 citations · 15 across the 12 of their papers we have counts for
5 papers · 1 filter
Statistical Inference for Fractional Diffusions
Pablo Ramses Alonso-Martin, Horatio Boedihardjo, Anastasia Papavasiliou
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first…
Expected signature of Gaussian processes with strictly regular kernels
H. Boedihardjo, A. Papavasiliou, Z. Qian
We compute the expected signature of a class of Gaussian processes which is a subclass of the Gaussian processes with regular kernels, in the sense of Alos, Mazet and Nualart.
A Distributed Procedure for Computing Stochastic Expansions with Mathematica
Christophe Ladroue, Anastasia Papavasiliou
The solution of a (stochastic) differential equation can be locally approximated by a (stochastic) expansion. If the vector field of the differential equation is a polynomial, the…
Parameter estimation for rough differential equations
Anastasia Papavasiliou, Christophe Ladroue
We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estima…
Asymptotic Stability of the optimal filter for non-ergodic signals
Anastasia Papavasiliou
In this paper, we study the problem of estimating a Markov chain (signal) from its noisy partial information , when the transition probability kernel depends on some unknown…