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math.PR2008★ 13 cited
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…
math.ST2008
Maximum Likelihood Drift Estimation for Multiscale Diffusions
A. Papavasiliou, G. A. Pavliotis, A. M. Stuart
We study the problem of parameter estimation using maximum likelihood for fast/slow systems of stochastic differential equations. Our aim is to shed light on the problem of model/d…