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math.ST2021
Minimax rate of estimation for invariant densities associated to continuous stochastic differential equations over anisotropic Holder classes
Chiara Amorino, Arnaud Gloter
We study the problem of the nonparametric estimation for the density of the stationary distribution of a -dimensional stochastic differential equation …
math.ST2021
Optimal convergence rates for the invariant density estimation of jump-diffusion processes
Chiara Amorino, Eulalia Nualart
We aim at estimating the invariant density associated to a stochastic differential equation with jumps in low dimension, which is for and . We consider a class of jump d…