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06/28/2023
Estimation of several parameters in discretely-observed Stochastic Differential Equations with additive fractional noise
We investigate the problem of joint statistical estimation of several pa...
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02/22/2023
Numerical approximation of SDEs with fractional noise and distributional drift
We study the well-posedness and numerical approximation of multidimensio...
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07/16/2021
On the discrete-time simulation of the rough Heston model
We study Euler-type discrete-time schemes for the rough Heston model, wh...
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04/01/2020