On inference for fractional differential equations

Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$H>1/2$$</EquationSource> </InlineEquation>. Rates of convergence for the approximation task are provided, and numerical experiments show that our procedure leads to good results in terms of estimation. Copyright Springer Science+Business Media Dordrecht 2013