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math.ST2024
Multifunction Estimation in a Time-Discretized Skorokhod Reflection Problem
Nicolas Marie
This paper deals with a consistent estimator of the multifunction involved in a time-discretized Skorokhod reflection problem defined by a stochastic differential equation and a Mo…
math.ST2024★ 2 cited
Nonparametric Estimation of the Transition Density Function for Diffusion Processes
Fabienne Comte, Nicolas Marie
We assume that we observe independent copies of a diffusion process on a time-interval . For a given time , we estimate the transition density , namely the…
math.ST2024
Warped Kernel Estimator for I.I.D. Paths of Diffusion Processes
Nicolas Marie, Amélie Rosier
This paper deals with a nonparametric warped kernel estimator of the drift function computed from independent continuous observations of a diffusion process. A risk bo…