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Found 353 Documents (Results 1–100)

Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises. (English) Zbl 1537.60040

Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 277-323 (2022).
MSC:  60G15 60G51 60H10
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Gaussian processes with Volterra kernels. (English) Zbl 07819618

Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 249-276 (2022).
MSC:  60G15 60G17 62P05
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Invariant surfaces for certain classes of systems of the second-order to stochastic differential equations with jumps. (Ukrainian. English summary) Zbl 1513.60076

MSC:  60H10
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Discrete-time approximations and limit theorems. In applications to financial markets. (English) Zbl 1503.60002

De Gruyter Series in Probability and Stochastics 2. Berlin: De Gruyter (ISBN 978-3-11-065279-6/hbk; 978-3-11-065424-0/ebook). xvi, 373 p. (2022).
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Minimization of the entropy for a mixture of standard and fractional Brownian motions. (English. Ukrainian original) Zbl 1466.60078

Theory Probab. Math. Stat. 101, 193-215 (2020); translation from Teor. Jmovirn. Mat. Stat. 101, 169-188 (2019).
MSC:  60G22
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Asymptotic analysis of unstable solutions of stochastic differential equations. (English) Zbl 1456.60002

Bocconi & Springer Series 9. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-030-41290-6/hbk; 978-3-030-41293-7/pbk; 978-3-030-41291-3/ebook). xv, 240 p. (2020).
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Fractional Brownian motion. Approximations and projections. (English) Zbl 1506.60001

Mathematics and Statistics Series. London: ISTE; Hoboken, NJ: John Wiley & Sons (ISBN 978-1-78630-260-1/hbk). xvi, 266 p. (2019).
MSC:  60-01 60G22
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Evaluation of extreme values of entropy functionals. (English. Ukrainian original) Zbl 1448.60166

Theory Probab. Math. Stat. 99, 199-210 (2019); translation from Teor. Jmovirn. Mat. Stat. 99, 177-186 (2018).
MSC:  60J65 94A17 60H05
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Replication of Wiener-transformable stochastic processes with application to financial markets with memory. (English) Zbl 1423.60107

Silvestrov, Sergei (ed.) et al., Stochastic processes and applications. SPAS2017, Västerås and Stockholm, Sweden, October 4–6, 2017. Cham: Springer. Springer Proc. Math. Stat. 271, 335-361 (2018).
MSC:  60H30 91B24 60G22
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Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions. (English) Zbl 1423.60064

Silvestrov, Sergei (ed.) et al., Stochastic processes and applications. SPAS2017, Västerås and Stockholm, Sweden, October 4–6, 2017. Cham: Springer. Springer Proc. Math. Stat. 271, 123-146 (2018).
MSC:  60G17 60G22
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Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. (English. Ukrainian original) Zbl 1409.60061

Theory Probab. Math. Stat. 97, 167-182 (2018); translation from Teor. Jmovirn. Mat. Stat. 97, 157-170 (2017).
MSC:  60G22 60G15 60H10
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Weak convergence of integral functionals constructed from solutions of Itô’s stochastic differential equations with non-regular dependence on a parameter. (English. Ukrainian original) Zbl 1402.60073

Theory Probab. Math. Stat. 96, 111-125 (2018); translation from Teor. Jmovirn. Mat. Stat. 96, 110-124 (2016).
MSC:  60H10 60F17 60J60
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Drift parameter estimation in the models involving fractional Brownian motion. (English) Zbl 1382.60063

Panov, Vladimir (ed.), Modern problems of stochastic analysis and statistics. Selected contributions in honor of Valentin Konakov’s 70th birthday, Moscow, Russia, May 29 – June 2, 2016. Cham: Springer (ISBN 978-3-319-65312-9/hbk; 978-3-319-65313-6/ebook). Springer Proceedings in Mathematics & Statistics 208, 237-268 (2017).
MSC:  60G22 60H10
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Parameter estimation in fractional diffusion models. (English) Zbl 1388.60006

Bocconi & Springer Series 8. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-71029-7/hbk; 978-3-319-71030-3/ebook). xix, 390 p. (2017).
MSC:  60-02 60J60 62G05
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An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility. (English. Ukrainian original) Zbl 1377.91160

Theory Probab. Math. Stat. 94, 97-120 (2017); translation from Teor. Jmovirn. Mat. Stat. 94, 93-115 (2016).
MSC:  91G20 60H30 60H07
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Maximum likelihood drift estimation for the mixing of two fractional Brownian motions. (English) Zbl 1498.60152

Bernido, Christopher C. (ed.) et al., Stochastic and infinite dimensional analysis. Collected papers based on the presentations at the conference, Bielefeld, Germany, June 2013. Basel: Birkhäuser/Springer. Trends Math., 263-280 (2016).
MSC:  60G22 62F10
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