Parameter estimation for rough differential equations

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Parameter estimation for rough differential equations

16 December 2008

A. Papavasiliou

Christophe Ladroue

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Papers citing "Parameter estimation for rough differential equations"

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Title
Coarse-grained modeling of multiscale diffusions: the p-variation estimates A. Papavasiliou 115 7 0 17 Feb 2010
Integrated volatility and round-off error M. Rosenbaum 98 53 0 04 Sep 2009
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes A. Beskos O. Papaspiliopoulos Gareth O. Roberts 164 85 0 02 Mar 2009
$Parameter estimation for fractional Ornstein-Uhlenbeck processes$ Parameter estimation for fractional Ornstein-Uhlenbeck processes Yaozhong Hu D. Nualart 71 308 0 30 Jan 2009
Maximum Likelihood Drift Estimation for Multiscale Diffusions A. Papavasiliou G. Pavliotis Andrew M. Stuart 162 66 0 19 Jun 2008