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
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 

Other publications by

67 publications found

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

2008
Journal article

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
Journal article

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

2016
Journal article

Stochastic Wave Equation In A Plane Driven By Spatial Stable Noise

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Larysa Pryhara

2021
Journal article

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

2022
Journal article

Tail Measures And Regular Variation

Publisher: Electronic Journal of Probability

Authors: Georgiy Shevchenko, Martin Bladt, Enkelejd Hashorva

2015
Journal article

Convergence Of Solutions Of Mixed Stochastic Delay Differential Equations With Applications

Publisher: Applied Mathematics and Computation

Authors: Georgiy Shevchenko, Yulia Mishura, Taras Shalaiko