Fractionally Integrated Bessel Process
Year:
2021Published in:
Royal SocietyWe consider a fractionally integrated Bessel process defined by 𝑌𝛿,𝐻𝑠=∫∞0(𝑢𝐻−(1/2)−(𝑢−𝑠)𝐻−(1/2)+)d𝑋𝛿𝑢, where 𝑋𝛿Xδ is the Bessel process of dimension
Related by author
67 publications found
Real Harmonizable Multifractional Stable Process And Its Local Properties
Publisher: Stochastic Processes and their Applications
Authors: Georgiy Shevchenko, Marco Dozzi, Yulia Mishura, Kostiantyn Ral’chenko
Fractional Brownian Motion In A Nutshell
Publisher: arxiv
Authors: Georgiy Shevchenko
Approximation Schemes For Stochastic Differential Equations In Hilbert Space
Publisher: Theory of Probability & Its Applications
Authors: Georgiy Shevchenko, Yulia Mishura
Existence And Uniqueness Of Mild Solution To Stochastic Heat Equation With White And Fractional Noises
Publisher: arxiv
Authors: Georgiy Shevchenko, Kostiantyn Prontenko, Yulia Mishura
Tail Measures And Regular Variation
Publisher: Electronic Journal of Probability
Authors: Georgiy Shevchenko, Martin Bladt, Enkelejd Hashorva
The Rate Of Convergence For Euler Approximations Of Solutions Of Stochastic Differential Equations Driven By Fractional Brownian Motion
Publisher: Stochastics
Authors: Georgiy Shevchenko, Yulia Mishura
Asymptotic Behavior Of Mixed Power Variations And Statistical Estimation In Mixed Models
Publisher: Statistical Inference for Stochastic Processes
Authors: Georgiy Shevchenko, Yulia Mishura, Marco Dozzi
Rate Of Convergence Of Euler Approximations Of Solution To Mixed Stochastic Differential Equation Involving Brownian Motion And Fractional Brownian Motion
Publisher: Random Operators and Stochastic Equations
Authors: Georgiy Shevchenko, Yulia Mishura
Malliavin Regularity Of Solutions To Mixed Stochastic Differential Equations
Publisher: Statistics & Probability Letters
Authors: Georgiy Shevchenko, Taras Shalaiko
Stochastic Wave Equation In A Plane Driven By Spatial Stable Noise
Publisher: Modern Stochastics: Theory and Applications
Authors: Georgiy Shevchenko, Larysa Pryhara