Likelihood inference for Discretely Observed Non-linear Diffusions. by Elerian, O, Chib, S, Shephard, N

“…This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. …”

Rough Paths based Numerical Algorithms in Computational Finance. by Gyurkó, L, Lyons, T

“…The paper connects asymptotic estimations of [3] and [7] with the Rough Paths perspective ([13], [14]) to present a general framework for deriving high order, stable and tractable path-wise approximations of stochastic differential equations. The approach, which can be traced back to [17] and probably earlier, is based on locally deriving and solving random ordinary differential equations. …”