Statistical Inference for Fractional Diffusions
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2026
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| _version_ | 1866914445807058944 |
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| author | Alonso-Martin, Pablo Ramses Boedihardjo, Horatio Papavasiliou, Anastasia |
| author_facet | Alonso-Martin, Pablo Ramses Boedihardjo, Horatio Papavasiliou, Anastasia |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_03722 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Statistical Inference for Fractional Diffusions Alonso-Martin, Pablo Ramses Boedihardjo, Horatio Papavasiliou, Anastasia Probability Statistics Theory 60L90, 62F12, 35B27 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. |
| title | Statistical Inference for Fractional Diffusions |
| topic | Probability Statistics Theory 60L90, 62F12, 35B27 |
| url | https://arxiv.org/abs/2604.03722 |