13 citations · 15 across the 3 of their papers we have counts for
3 papers
math.PR2010
A Distributed Procedure for Computing Stochastic Expansions with Mathematica
Christophe Ladroue, Anastasia Papavasiliou
The solution of a (stochastic) differential equation can be locally approximated by a (stochastic) expansion. If the vector field of the differential equation is a polynomial, the…
math.PR2010★ 2 cited
Expectation of Stratonovich iterated integrals of Wiener processes
Christophe Ladroue
The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest…
math.PR2008★ 13 cited
Parameter estimation for rough differential equations
Anastasia Papavasiliou, Christophe Ladroue
We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estima…