F. Comte

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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 in SDE Models Involving an Explanatory Process

Fabienne Comte, Nicolas Marie

This paper deals with the process $X = (X_{t})_{t \in [0, T]}$ defined by the stochastic differential equation (SDE) $d X_{t} = (a (X_{t}) + b (Y_{t})) d t + I ¨ (X_{t}) d W_{1} (t)$ , where $W_{1}$ is a Brow…

math.ST2024

Nonparametric Estimation of the Transition Density Function for Diffusion Processes

Fabienne Comte, Nicolas Marie

We assume that we observe $N$ independent copies of a diffusion process on a time-interval $[0, 2 T]$ . For a given time $t$ , we estimate the transition density $p_{t} (x, y)$ , namely the…