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math.PR2020
Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
Karine Bertin, Nicolas Klutchnikoff, Fabien Panloup +1
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 f…
math.PR2019
Concentration inequalities for Stochastic Differential Equations with additive fractional noise
Maylis Varvenne
In this paper, we establish concentration inequalities both for functionals of the whole solution on an interval [0, T ] of an additive SDE driven by a fractional Brownian motion w…
math.PR2017
Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory
Maylis Varvenne
The main objective of the paper is to study the long-time behavior of general discrete dynamics driven by an ergodic stationary Gaussian noise. In our main result, we prove existen…