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math.ST2019
A general drift estimation procedure for stochastic differential equations with additive fractional noise
Fabien Panloup, Samy Tindel, Maylis Varvenne
In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumpti…
math.ST2017★ 25 cited
Optimal non-asymptotic bound of the Ruppert-Polyak averaging without strong convexity
Sébastien Gadat, Fabien Panloup
This paper is devoted to the non-asymptotic control of the mean-squared error for the Ruppert-Polyak stochastic averaged gradient descent introduced in the seminal contributions of…