Related papers: The Order Barrier for Strong Approximation of Roug…
The indefinite integral of the homogenized Ornstein-Uhlenbeck process is a well-known model for physical Brownian motion, modelling the behaviour of an object subject to random impulses [L. S. Ornstein, G. E. Uhlenbeck: On the theory of…
We study the $L^1$-approximation of the log-Heston SDE at equidistant time points by Euler-type methods. We establish the convergence order $ 1/2-\epsilon$ for $\epsilon >0$ arbitrarily small, if the Feller index $\nu$ of the underlying CIR…
This paper proposes consistent and asymptotically Gaussian estimators for the drift, the diffusion coefficient and the Hurst exponent of the discretely observed fractional Ornstein-Uhlenbeck process. For the estimation of the drift, the…
In this paper the numerical approximation of stochastic differential equations satisfying a global monotonicity condition is studied. The strong rate of convergence with respect to the mean square norm is determined to be $\frac{1}{2}$ for…
This paper establishes a discretization scheme for a large class of stochastic differential equations driven by a time-changed Brownian motion with drift, where the time change is given by a general inverse subordinator. The scheme involves…
We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme --with constant or decreasing step-- may explode and implicit…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…
We consider the parameter estimation problem for the non-ergodic fractional Ornstein-Uhlenbeck process defined as $dX_t=\theta X_tdt+dB_t,\ t\geq0$, with a parameter $\theta>0$, where $B$ is a fractional Brownian motion of Hurst index…
We consider the Black--Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets. For volatility driven by the Ornstein--Uhlenbeck process, we establish the existence of…
We consider a rough differential equation indexed by a small parameter $\varepsilon>0$. When the rough differential equation is driven by fractional Brownian motion with Hurst parameter $H$ ($1/4<H<1/2$), we prove the Laplace-type…
In this paper we consider the numerical approximation of a general second order semi-linear parabolic partial differential equation. Equations of this type arise in many contexts, such as transport in porous media. Using finite element…
In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with $H<1/2$. As an auxiliary result, we also prove the…
In this paper, we investigate the problem of strong approximation of the solutions of stochastic differential equations (SDEs) when the drift coefficient is given in integral form. We investigate its upper error bounds, in terms of the…
Let $B^{a,b}:=\{B_t^{a,b},t\geq0\}$ be a weighted fractional Brownian motion of parameters $a>-1$, $|b|<1$, $|b|<a+1$. We consider a least square-type method to estimate the drift parameter $\theta>0$ of the weighted fractional…
The purpose of this paper is to establish the convergence in distribution of the normalized error in the Euler approximation scheme for stochastic Volterra equations driven by a standard Brownian motion, with a kernel of the form…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…
We obtain a Berry-Esseen type bound for the distribution of the maximum likelihood estimator of the drift parameter for fractional Ornstein-uhlenbeck type process driven by sub-fractional Brownian motion.
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…
We consider a general linear parabolic problem with extended time boundary conditions (including initial value problems and periodic ones), and approximate it by the implicit Euler scheme in time and the Gradient Discretisation method in…
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situations of low and high-frequency observations in a unified…