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Paper No. 16-02

Download Paper No. 16-02

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.