Numerical Aspects of Simulation and Inference for Stochastic Differential Equations: A Review
Stefano M. Iacus
Department of Economics, Business and Statistics, University of Milan, Milan, Italy

We present a review on recent developments and their numerical aspects on simulation and inference for stochastic processes solutions to stochastic differential equations. We will include results on both diffusions, fractional diffusions and Lévy processes. We will also present a comprehensive open source and free software solution based on the R statistical environment.

Keywords: Inference for stochastic processes; Simulation; Computational statistics; Stochastic differential equations

Biography: Stefano M. Iacus is associate professor of Probability and Mathematical Statistics at University of Milan and member of the R Core Team.