Journal article

Rate Of Convergence Of Euler Approximations Of Solution To Mixed Stochastic Differential Equation Involving Brownian Motion And Fractional Brownian Motion

Year:

2011

Published in:

Random Operators and Stochastic Equations

Authors:

Fractional Brownian motion

mixed stochastic differential equation

pathwise integral

Euler approximation

We consider a mixed stochastic differential equation involving both standard Brownian motion and fractional Brownian motion with Hurst parameter

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Other publications by

71 publications found

2025

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Stochastic Selection Problem For A Stratonovich Sde With Power Non‑Linearity

Publisher: Bernoulli

Authors: Georgiy Shevchenko, Ilya Pavlyukevich

2015

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Integral Representation With Respect To Fractional Brownian Motion Under A Log‑Hölder Assumption

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Taras Shalaiko

2008

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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

2015

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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

2018

Working paper

Existence And Uniqueness Of Mild Solution To Stochastic Heat Equation With White And Fractional Noises

Publisher: arxiv

Authors: Georgiy Shevchenko, Kostiantyn Prontenko, Yulia Mishura

2011

Journal article

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

2021

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Boundary Non‑Crossing Probabilities Of Gaussian Processes: Sharp Bounds And Asymptotics

Publisher: Journal of Theoretical Probability

Authors: Georgiy Shevchenko, Enkelejd Hashorva, Yulia Mishura

2014

Working paper

Fractional Brownian Motion In A Nutshell

Publisher: arxiv

Authors: Georgiy Shevchenko

2007

Journal article

Approximation Schemes For Stochastic Differential Equations In Hilbert Space

Publisher: Theory of Probability & Its Applications

Authors: Georgiy Shevchenko, Yulia Mishura

2013

Journal article

Malliavin Regularity Of Solutions To Mixed Stochastic Differential Equations

Publisher: Statistics & Probability Letters

Authors: Georgiy Shevchenko, Taras Shalaiko