8 citations · 8 across the 2 of their papers we have counts for
2 papers
math.ST2016
Approximate Likelihood Construction for Rough Differential Equations
Anastasia Papavasiliou, Kasia B. Taylor
The paper is split in two parts: in the first part, we construct the exact likelihood for a discretely observed rough differential equation, driven by a piecewise linear path. In t…
stat.ME2015★ 8 cited
Exact sampling of diffusions with a discontinuity in the drift
Omiros Papaspiliopoulos, Gareth O. Roberts, Kasia B. Taylor
We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of fin…