Statistical Inference for Fractional Diffusions
Probability
2026-04-07 v1 Statistics Theory
Statistics Theory
Abstract
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them. The second section reviews existing theory of statistical inference for fractional diffusions, identifies remaining challenges and introduces a novel approach. The final section discusses results for the case where fractional diffusions result as a homogenisation limit.
Cite
@article{arxiv.2604.03722,
title = {Statistical Inference for Fractional Diffusions},
author = {Pablo Ramses Alonso-Martin and Horatio Boedihardjo and Anastasia Papavasiliou},
journal= {arXiv preprint arXiv:2604.03722},
year = {2026}
}
Comments
Contribution to an edited volume on anomalous diffusions