Authors: Papavasiliou A and Taylor K.
Title: Approximate likelihood construction for rough differential equations
Abstract: The paper is split in two parts: first, we construct the exact likelihood for a discretely observed rough differential equation, driven by a piecewise linear path. In the second part, we use this likelihood in order to construct an approximation to the likelihood for a discretely observed rough differential equation. Finally, we show that the approximation error disappears as the sampling frequency goes to zero.