Nicolas Marie

collaborators

3 papers

math.ST2025

Nonparametric Drift Estimation from Diffusions with Correlated Brownian Motions

Fabienne Comte, Nicolas Marie

In the present paper, we consider that $N$ diffusion processes $X^{1}, \dots, X^{N}$ are observed on $[0, T]$ , where $T$ is fixed and $N$ grows to infinity. Contrary to most of the recent…

math.ST2025

Nonparametric Estimation for I.I.D. Paths of a Martingale Driven Model with Application to Non-Autonomous Financial Models

Nicolas Marie

This paper deals with a projection least squares estimator of the function $J_{0}$ computed from multiple independent observations on $[0, T]$ of the process $Z$ defined by $dZ_t = J_…

math.ST2025

Projection Estimators of the Stationary Density of a Differential Equation Driven by the Fractional Brownian Motion

Nicolas Marie

The paper deals with projection estimators of the density of the stationary solution $X$ to a differential equation driven by the fractional Brownian motion under a dissipativity c…