99 citations · 143 across the 16 of their papers we have counts for
18 papers
Estimation of several parameters in discretely-observed Stochastic Differential Equations with additive fractional noise
El Mehdi Haress, Alexandre Richard
We investigate the problem of joint statistical estimation of several parameters for a stochastic differential equation driven by an additive fractional Brownian motion. Based on d…
Numerical approximation of SDEs with fractional noise and distributional drift
Ludovic Goudenège, El Mehdi Haress, Alexandre Richard
We study the numerical approximation of SDEs with singular drifts (including distributions) driven by a fractional Brownian motion. Under the Catellier-Gubinelli condition that imp…
Long time Hurst regularity of fractional SDEs and their ergodic means
El Mehdi Haress, Alexandre Richard
The fractional Brownian motion can be considered as a Gaussian field indexed by , where is the Hurst parameter. On compact time intervals…
Regularisation by fractional noise for one-dimensional differential equations with distributional drift
Lukas Anzeletti, Alexandre Richard, Etienne Tanré
We study existence and uniqueness of solutions to the equation , where is a distribution in some Besov space and is a fractional Brownian motion with…
On the discrete-time simulation of the rough Heston model
Alexandre Richard, Xiaolu Tan, Fan Yang
We study Euler-type discrete-time schemes for the rough Heston model, which can be described by a stochastic Volterra equation (with non-Lipschtiz coefficient functions), or by an…
Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel
Christian Olivera, Alexandre Richard, Milica Tomasevic
In this work, we study the convergence of the empirical measure of moderately interacting particle systems with singular interaction kernels. First, we prove quantitative convergen…