Related papers: Drift parameter estimation in stochastic different…

This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assuming any functional form of the volatility function, we…

We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…

We consider a class of stochastic kinetic equations, depending on two time scale separation parameters $\epsilon$ and $\delta$: the evolution equation contains singular terms with respect to $\epsilon$, and is driven by a fast ergodic…

We discuss parametric estimation of a degenerate diffusion system from time-discrete observations. The first component of the degenerate diffusion system has a parameter $\theta_1$ in a non-degenerate diffusion coefficient and a parameter…

In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector field and a Wiener process. The results obtained in this paper…

In this paper, we study the weak differentiability of global strong solution of stochastic differential equations, the strong Feller property of the associated diffusion semigroups and the global stochastic flow property in which the…

Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of…

We consider SDEs with (distributional) drift in negative Besov spaces and random initial condition and investigate them from two different viewpoints. In the first part we set up a martingale problem and show its well-posedness.We then…

In this paper, we consider a class of stochastic differential equations driven by symmetric non-degenerate $\alpha$-stable processes (including cylindrical ones) with $\alpha \in (1,2)$. We first establish a quantitative estimate for the…

We derive the strong consistency of the least squares estimator for the drift coefficient of a fractional stochastic differential system. The drift coeffcient is one-sided dissipative Lipschitz and the driving noise is additive and…

In this paper, we prove the strong Feller property for stochastic delay (or functional) differential equations with singular drift. We extend an approach of Maslowski and Seidler to derive the strong Feller property of those equations. The…

We propose an unbiased Monte-Carlo estimator for $\mathbb{E}[g(X_{t_1}, \cdots, X_{t_n})]$, where $X$ is a diffusion process defined by a multi-dimensional stochastic differential equation (SDE). The main idea is to start instead from a…

We introduce a novel paradigm for learning non-parametric drift and diffusion functions for stochastic differential equation (SDE). The proposed model learns to simulate path distributions that match observations with non-uniform time…

We survey and refine recent results on weak and strong well-posedness of stochastic differential equations with singular drift satisfying some minimal assumptions.

In this article we prove the pathwise uniqueness for stochastic differential equations in $\mR^d$ with time-dependent Sobolev drifts, and driven by symmetric $\alpha$-stable processes provided that $\alpha\in(1,2)$ and its spectral measure…

We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally…

We obtain uniqueness and existence of a solution $u$ to the following second-order stochastic partial differential equation (SPDE) : \begin{align} \label{abs eqn} du= \left( \bar a^{ij}(\omega,t)u_{x^ix^j}+ f \right)dt + g^k dw^k_t, \quad t…

We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and finally stochastic local volatility with stochastic interest…

We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…

This paper focuses on the strong convergence of the truncated $\theta$-Milstein method for a class of nonautonomous stochastic differential delay equations whose drift and diffusion coefficients can grow polynomially. The convergence rate,…