Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion
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Publication:5157689
DOI10.1137/20M135813XzbMath1478.60123arXiv2007.11665OpenAlexW3195308297MaRDI QIDQ5157689
Siragan Gailus, Solesne Bourguin, Konstantinos V. Spiliopoulos
Publication date: 19 October 2021
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.11665
fractional Brownian motionstatistical inferencesmall noisemultiscale processesHurst index estimation
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Slow-fast systems with fractional environment and dynamics, Rough homogenisation with fractional dynamics, Mild stochastic sewing lemma, SPDE in random environment, and fractional averaging
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